Inference theory for volatility functional dependencies

DOI10.1016/j.jeconom.2016.01.004zbMath1420.62494OpenAlexW2268965151MaRDI QIDQ284294

George Tauchen, Jia Li, Viktor Todorov

Publication date: 18 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.01.004

zbMATH Keywords

stochastic volatilityoccupation measurehigh-frequency datasemimartingalespecification test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

Related Items (10)

Adaptive estimation of continuous-time regression models using high-frequency data ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ Asymptotic properties of correlation-based principal component analysis ⋮ Bootstrapping Laplace transforms of volatility ⋮ ETF basket-adjusted covariance estimation ⋮ Efficient estimation of integrated volatility functionals via multiscale jackknife ⋮ Glivenko-Cantelli theorems for integrated functionals of stochastic processes ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS ⋮ High-frequency factor models and regressions ⋮ Principal Component Analysis of High-Frequency Data

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