A central limit theorem for the functional estimation of the spot volatility

DOI10.1515/MCMA.2009.019zbMath1182.62167MaRDI QIDQ3405601

Shigeyoshi Ogawa, Hoang-Long Ngo

Publication date: 10 February 2010

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

robustnesscentral limit theoremjump processmicrostructure noisespot volatility

Mathematics Subject Classification ID

Related Items (5)

An integrated cross-volatility estimation for asynchronous noisy data ⋮ Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis ⋮ Parametric estimation for discretely observed stochastic processes with jumps ⋮ Estimating spot volatility with high-frequency financial data ⋮ Spot volatility estimation using delta sequences

Cites Work

• Estimation of parameters for diffusion processes with jumps from discrete observations
• A note on the central limit theorem for bipower variation of general functions
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
• On mixing and stability of limit theorems
• Fourier series method for measurement of multivariate volatilities
• On a real-time scheme for the estimation of volatility
• Real-time scheme for the volatility estimation in the presence of microstructure noise
• A Tale of Two Time Scales

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