Efficient estimation of integrated volatility functionals under general volatility dynamics

Efficient estimation of integrated volatility functionals under general volatility dynamics

We provide an asymptotic theory for the estimation of a general class of smooth nonlinear integrated volatility functionals. Such functionals are broadly useful for measuring financial risk and estimating economic models using high-frequency transaction data. The theory is valid under general volati...

Full description

Saved in:
Bibliographic Details
Main Authors: LI, Jia, Liu, Yunxiao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Brownian motion
Economic model
Transaction data
Nonlinear system
Estimator
Applied mathematics
Mathematics
Financial risk
Volatility (finance)
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2561
https://ink.library.smu.edu.sg/context/soe_research/article/3560/viewcontent/efficient_estimation_of_integrated_volatility_functionals_under_general_volatility_dynamics_av.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2561
https://ink.library.smu.edu.sg/context/soe_research/article/3560/viewcontent/efficient_estimation_of_integrated_volatility_functionals_under_general_volatility_dynamics_av.pdf

Similar Items