EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS

DOI10.1017/S0266466620000274zbMath1473.62387OpenAlexW3042597998MaRDI QIDQ4959130

Yunxiao Liu, Jia Li

Publication date: 10 September 2021

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

Full work available at URL: https://doi.org/10.1017/s0266466620000274

zbMATH Keywords

semimartingaleintegrated volatility functionals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Functional data analysis (62R10) Generalizations of martingales (60G48)

Related Items (1)

Optimal nonparametric range-based volatility estimation

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