Fixed-k inference for volatility

Fixed-k inference for volatility

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the estim...

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Bibliographic Details
Main Authors: BOLLERSLEV, Tim, LI, Jia, LIAO, Zhipeng
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Spot volatility
high-frequency identification
semimartingale
uni-form inference
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/2544
https://ink.library.smu.edu.sg/context/soe_research/article/3543/viewcontent/Quantitative_Economics___2021___Bollerslev___Fixed_k_inference_for_volatility.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2544
https://ink.library.smu.edu.sg/context/soe_research/article/3543/viewcontent/Quantitative_Economics___2021___Bollerslev___Fixed_k_inference_for_volatility.pdf

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