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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書目詳細資料
Main Authors:	LI, Jia, LIU, Yunxiao, XIU, Dacheng.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2019
主題:	high-frequency data jackknife Semimartingale spot volatility Econometrics
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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