Efficient estimation of integrated volatility functionals under general volatility dynamics

• Main Authors: LI, Jia, Liu, Yunxiao
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2021
• 主題: Brownian motion; Economic model; Transaction data; Nonlinear system; Estimator; Applied mathematics; Mathematics; Financial risk; Volatility (finance); Econometrics
• 在線閱讀: 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

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...