Nonparametric Estimation Methods of Integrated Multivariate Volatilities

DOI10.1080/07474930701853855zbMath1359.62448OpenAlexW2167083988MaRDI QIDQ3539868

Toshiya Hoshikawa, Taro Kanatani, Keiji Nagai, Yoshihiko Nishiyama

Publication date: 19 November 2008

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

Full work available at URL: https://doi.org/10.1080/07474930701853855

zbMATH Keywords

nonparametric estimatorshigh frequency dataintegrated volatilityweighted realized volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (6)

A Fourier transform method for nonparametric estimation of multivariate volatility ⋮ Estimation of the lead-lag parameter from non-synchronous data ⋮ Realized Volatility and Long Memory: An Overview ⋮ Realized Volatility: A Review ⋮ Nonsynchronous covariation process and limit theorems ⋮ Second-order asymptotic expansion for a non-synchronous covariation estimator

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• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• A Tale of Two Time Scales
• On measuring volatility of diffusion processes with high frequency data

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