Inference theory on volatility functional dependencies

• Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: High-frequency data; Occupation measure; Semimartingale; Specification test; Stochastic volatility; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/2571; https://ink.library.smu.edu.sg/context/soe_research/article/3570/viewcontent/Inference_Theory.pdf
• Institution: Singapore Management University

We develop inference theory for models involving possibly nonlinear transforms of the elements of the spot covariance matrix of a multivariate continuous-time process observed at high frequency. The framework can be used to study the relationship among the elements of the latent spot covariance matr...