Efficient estimation of integrated volatility functionals via multi-scale jackknife

Efficient estimation of integrated volatility functionals via multi-scale jackknife

We propose semiparametrically efficient estimators for general integrated volatility functionals of multivariate semimartingale processes. A plug-in method that uses nonparametric estimates of spot volatilities is known to induce high-order biases that need to be corrected to obey a central limit th...

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Bibliographic Details
Main Authors: LI, Jia, LIU, Yunxiao, XIU, Dacheng.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
high-frequency data
jackknife
Semimartingale
spot volatility
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2585
https://ink.library.smu.edu.sg/context/soe_research/article/3584/viewcontent/JACKKNIFE_pvoa.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2585
https://ink.library.smu.edu.sg/context/soe_research/article/3584/viewcontent/JACKKNIFE_pvoa.pdf

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