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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
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| Subjects: | |
| 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 |