ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION

DOI10.1017/S0266466615000171zbMath1441.62796OpenAlexW2261463978MaRDI QIDQ2976209

Viktor Todorov, George Tauchen, Jia Li

Publication date: 28 April 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466615000171

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (5)

Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Glivenko-Cantelli theorems for integrated functionals of stochastic processes ⋮ Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data ⋮ The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing ⋮ Occupation density estimation for noisy high-frequency data

Cites Work

• Unnamed Item
• Unnamed Item
• Quarticity and other functionals of volatility: efficient estimation
• Volatility occupation times
• Discretization of processes.
• Estimating the degree of activity of jumps in high frequency data
• Occupation densities
• Long memory continuous time models
• On the continuity of local times of Borel right Markov processes
• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• Long memory in continuous-time stochastic volatility models
• The Realized Laplace Transform of Volatility
• Estimation of Jump Tails
• A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Quantile and Probability Curves Without Crossing
• Asymptotic Statistics
• Direct regularization of the inversion of real-valued Laplace transforms
• Regularized inversion of integral transformations of Mellin convolution type
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Markov Processes, Gaussian Processes, and Local Times
• Handbook of econometrics. Vol. 4

This page was built for publication: ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION