Volatility occupation times

DOI10.1214/13-AOS1135zbMath1277.62196arXiv1309.4667OpenAlexW3104498715MaRDI QIDQ385768

Viktor Todorov, George Tauchen, Jia Li

Publication date: 11 December 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.4667

zbMATH Keywords

stochastic volatilityquantileslocal approximationshigh-frequency datanonparametric estimationspot variance

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (11)

Inference theory for volatility functional dependencies ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES ⋮ Glivenko-Cantelli theorems for integrated functionals of stochastic processes ⋮ Volatility coupling ⋮ The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing ⋮ Occupation density estimation for noisy high-frequency data ⋮ Variation and efficiency of high-frequency betas

Cites Work

• Quarticity and other functionals of volatility: efficient estimation
• Discretization of processes.
• Occupation densities
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• Weak convergence and empirical processes. With applications to statistics
• On the continuity of local times of Borel right Markov processes
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Asymptotic Statistics
• On estimating the diffusion coefficient from discrete observations
• The distribution of Brownian quantiles
• Fully Nonparametric Estimation of Scalar Diffusion Models
• The bootstrap and Edgeworth expansion
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