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ArticleSpot volatility estimation using delta sequences

Cecilia Mancini2015

Article2015

Spot volatility estimation using delta sequences

Cecilia Mancini · Vanessa Mattiussi · Roberto Renò

55 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2005Stochastic Integration and Differential Equations 2003Limit Theorems for Stochastic Processes 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005A Tale of Two Time Scales 1997Intraday periodicity and volatility persistence in financial markets 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 2008Microstructure noise in the continuous case: The pre-averaging approach 2009Testing for jumps in a discretely observed process

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2017Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence 2021Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps

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Year2015

Typearticle

Published2015-02-19

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations55

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-015-0255-1

openalex_workW1481289643

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