Volatility coupling

This paper provides a strong approximation, or coupling, theory for spot volatility estimators formed using high-frequency data. We show that the t-statistic process associated with the nonparametric spot volatility estimator can be strongly approximated by a growing-dimensional vector of independen...

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Bibliographic Details
Main Authors: JACOD, Jean, LI, Jia, LIAO, Zhipeng
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/2553
https://ink.library.smu.edu.sg/context/soe_research/article/3552/viewcontent/vc.pdf
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Institution: Singapore Management University
Language: English

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