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...
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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/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 |
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| Institution: | Singapore Management University |
| Language: | English |