Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data

DOI10.1515/SNDE-2014-0037OpenAlexW2275614875WikidataQ58941497 ScholiaQ58941497MaRDI QIDQ2691639

Kyungsub Lee

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.5036

zbMATH Keywords

stochastic volatilitygeneralized method of momentsquadratic variationhigh order moment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data ⋮ COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS ⋮ Dissecting skewness under affine jump-diffusions

Cites Work

• Option valuation with conditional skewness
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Moment swaps
• Inference for Continuous Semimartingales Observed at High Frequency
• ARMA representation of integrated and realized variances
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Modeling and Forecasting Realized Volatility

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