EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES

DOI10.1017/S0266466616000013zbMath1442.62755OpenAlexW3125906384MaRDI QIDQ2986526

Cisil Sarisoy, Eric Renault, Bas J. M. Werker

Publication date: 16 May 2017

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

Full work available at URL: https://doi.org/10.1017/s0266466616000013

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS ⋮ Adaptive estimation of continuous-time regression models using high-frequency data ⋮ Optimal nonparametric range-based volatility estimation ⋮ Nonparametric range-based double smoothing spot volatility estimation for diffusion models ⋮ A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA ⋮ Efficient estimation of integrated volatility functionals via multiscale jackknife ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Functional stable limit theorems for quasi-efficient spectral covolatility estimators ⋮ Volatility coupling ⋮ Large deviation principles of realized Laplace transform of volatility

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