Spectral Estimation of Covolatility from Noisy Observations Using Local Weights

DOI10.1111/sjos.12019zbMath1349.62441arXiv1112.0939OpenAlexW2103362475MaRDI QIDQ5413944

Markus Bibinger, Markus Reiss

Publication date: 2 May 2014

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.0939

zbMATH Keywords

covariationasymptotic equivalencemicrostructure noiseintegrated covolatilityspectral adaptive estimation

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Diffusion processes (60J60)

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