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Estimation of Correlation for Continuous Semimartingales

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  • MATHIAS VETTER

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  • Mathias Vetter, 2012. "Estimation of Correlation for Continuous Semimartingales," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(4), pages 757-771, December.
    • Handle: RePEc:bla:scjsta:v:39:y:2012:i:4:p:757-771
    DOI: j.1467-9469.2012.00783.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2012.00783.x
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    Citations

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    Cited by:

    1. Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2019. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 158-184.
    2. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
    3. Cuchiero, Christa & Teichmann, Josef, 2015. "Fourier transform methods for pathwise covariance estimation in the presence of jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 116-160.
    4. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
    5. repec:hum:wpaper:sfb649dp2015-008 is not listed on IDEAS
    6. Jean Jacod & Mark Podolskij, 2012. "A Test for the Rank of the Volatility Process: The Random Perturbation Approach," Global COE Hi-Stat Discussion Paper Series gd12-268, Institute of Economic Research, Hitotsubashi University.
    7. Bibinger, Markus & Jirak, Moritz & Vetter, Mathias, 2015. "Nonparametric change-point analysis of volatility," SFB 649 Discussion Papers 2015-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang, 2017. "Estimation of the Continuous and Discontinuous Leverage Effects," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1744-1758, October.

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