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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |