Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window

DOI10.1007/978-3-319-11605-1_20zbMath1401.60078arXiv1212.1997OpenAlexW1847779768MaRDI QIDQ4560345

Mathieu Rosenbaum, Jean Jacod

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.1997

zbMATH Keywords

central limit theoremefficient estimationsemimartingalehigh frequency datavolatility estimationasymptotic aspectsestimation of volatility functionals

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items (9)

Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ Asymptotic properties of correlation-based principal component analysis ⋮ Statistical inferences for price staleness ⋮ Bootstrapping Laplace transforms of volatility ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times ⋮ Efficient estimation of integrated volatility functionals via multiscale jackknife ⋮ The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS

Cites Work

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• Quarticity and other functionals of volatility: efficient estimation
• Estimation of the instantaneous volatility
• Discretization of processes.
• An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
• Limit theorems for bipower variation of semimartingales
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing

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