Estimation of integrated volatility of volatility with applications to goodness-of-fit testing

DOI10.3150/14-BEJ648zbMath1345.60020arXiv1206.5761OpenAlexW2963087315MaRDI QIDQ888485

Mathias Vetter

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.5761

zbMATH Keywords

estimationcentral limit theoremmodel validationstable convergencestochastic volatility modelhigh-frequency observationsgoodness-of-fit testing

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Financial applications of other theories (91G80)

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