The asymptotics of the integrated self-weighted cross volatility estimator

DOI10.1016/J.JSPI.2013.05.003zbMath1279.62211OpenAlexW1974039729MaRDI QIDQ394775

Cui-Xia Li, Xin-Bing Kong, Xiao-Lin Liang, Bing-Yi Jing

Publication date: 27 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.05.003

zbMATH Keywords

asynchronous dataicrostructure noiseIto semi-martingales

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites Work

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• On covariance estimation of non-synchronously observed diffusion processes
• Vast volatility matrix estimation for high-frequency financial data
• An integrated cross-volatility estimation for asynchronous noisy data
• Modeling and Forecasting Realized Volatility

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