Uniform convergence rates for spot volatility estimation

DOI10.3934/puqr.2023014zbMath1530.91550OpenAlexW4387066511MaRDI QIDQ6064073

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Publication date: 8 November 2023

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2023014

zbMATH Keywords

uniform convergence ratesItô semimartingalespot volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales and classical analysis (60G46) Financial markets (91G15)

Cites Work

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• Spot volatility estimation using delta sequences
• Estimating spot volatility with high-frequency financial data
• ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Modeling and Forecasting Realized Volatility

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