Adaptive estimation of continuous-time regression models using high-frequency data

Adaptive estimation of continuous-time regression models using high-frequency data

We derive the asymptotic efficiency bound for regular estimates of the slope coefficient in a linear continuous-time regression model for the continuous martingale parts of two Itô semimartingales observed on a fixed time interval with asymptotically shrinking mesh of the observation grid. We furthe...

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Bibliographic Details
Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Adaptive estimation
Beta
Stochastic volatility
Spot variance
Semiparametric efficiency
High-frequency data
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2582
https://ink.library.smu.edu.sg/context/soe_research/article/3581/viewcontent/AdaptiveEstim_CTR_av.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2582
https://ink.library.smu.edu.sg/context/soe_research/article/3581/viewcontent/AdaptiveEstim_CTR_av.pdf

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