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Estimation of the instantaneous volatility

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  • Alexander Alvarez
  • Fabien Panloup
  • Monique Pontier
  • Nicolas Savy

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  • Alexander Alvarez & Fabien Panloup & Monique Pontier & Nicolas Savy, 2012. "Estimation of the instantaneous volatility," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 27-59, April.
    • Handle: RePEc:spr:sistpr:v:15:y:2012:i:1:p:27-59
    DOI: 10.1007/s11203-011-9062-2
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    References listed on IDEAS

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    1. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
    2. Ole E. Barndorff‐Nielsen & Neil Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280, May.
    3. Jacod, Jean, 2008. "Asymptotic properties of realized power variations and related functionals of semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 118(4), pages 517-559, April.
    4. Barndorff-Nielsen, Ole Eiler & Graversen, Svend Erik & Jacod, Jean & Podolskij, Mark, 2004. "A central limit theorem for realised power and bipower variations of continuous semimartingales," Technical Reports 2004,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Espinosa, Fernando & Vives, Josep, 2006. "A volatility-varying and jump-diffusion Merton type model of interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 157-166, February.
    6. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
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    Citations

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    Cited by:

    1. 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.
    2. Cecilia Mancini & Vanessa Mattiussi & Roberto Renò, 2015. "Spot volatility estimation using delta sequences," Finance and Stochastics, Springer, vol. 19(2), pages 261-293, April.
    3. Liu, Qiang & Liu, Yiqi & Liu, Zhi, 2018. "Estimating spot volatility in the presence of infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1958-1987.
    4. Jacod, Jean & Klüppelberg, Claudia & Müller, Gernot, 2017. "Testing for non-correlation between price and volatility jumps," Journal of Econometrics, Elsevier, vol. 197(2), pages 284-297.
    5. Patrick Chang, 2020. "Fourier instantaneous estimators and the Epps effect," Papers 2007.03453, arXiv.org, revised Sep 2020.
    6. Nien-Lin Liu & Hoang-Long Ngo, 2014. "Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis," Papers 1409.2214, arXiv.org.
    7. Zhenjie Liang & Futian Weng & Yuanting Ma & Yan Xu & Miao Zhu & Cai Yang, 2022. "Measurement and Analysis of High Frequency Assert Volatility Based on Functional Data Analysis," Mathematics, MDPI, vol. 10(7), pages 1-11, April.
    8. Figueroa-López, José E. & Li, Cheng, 2020. "Optimal kernel estimation of spot volatility of stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4693-4720.
    9. Jos'e E. Figueroa-L'opez & Bei Wu, 2020. "Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging," Papers 2004.01865, arXiv.org, revised Feb 2022.
    10. 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.
    11. Jos'e E. Figueroa-L'opez & Cheng Li & Jeffrey Nisen, 2018. "Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes," Papers 1811.07499, arXiv.org, revised Apr 2020.
    12. 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.
    13. Richard Y. Chen, 2019. "The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations," Papers 1911.02205, arXiv.org.
    14. repec:hum:wpaper:sfb649dp2015-008 is not listed on IDEAS

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