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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| 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/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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