Estimation of integrated volatility of volatility with applications to goodness-of-fit testing

25 June 2012

Papers citing "Estimation of integrated volatility of volatility with applications to goodness-of-fit testing"

11 / 11 papers shown

Title
Volatility of Volatility and Leverage Effect from Options Carsten H. Chong Viktor Todorov 23 4 0 06 May 2023
Statistical inference for rough volatility: Central limit theorems Carsten H. Chong M. Hoffmann Yanghui Liu M. Rosenbaum Grégoire Szymanski 46 18 0 03 Oct 2022
Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts Giacomo Toscano Giulia Livieri M. Mancino S. Marmi 15 9 0 29 Dec 2021
Inference on the maximal rank of time-varying covariance matrices using high-frequency data M. Reiß Lars Winkelmann 19 4 0 01 Oct 2021
Large Deviation principles of Realized Laplace Transform of Volatility Xinwei Feng Lidan He Zhi Liu 16 1 0 27 Oct 2020
A CLT for second difference estimators with an application to volatility and intensity E. A. Stoltenberg P. Mykland Lan Zhang 14 0 0 23 Mar 2019
Estimation for high-frequency data under parametric market microstructure noise Simon Clinet Yoann Potiron 28 18 0 05 Dec 2017
Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations José E. Figueroa-López Cheng Li 16 16 0 14 Dec 2016
Semimartingale detection and goodness-of-fit tests Adam D. Bull 18 5 0 30 May 2015
Model checks for the volatility under microstructure noise Mathias Vetter Holger Dette 32 14 0 23 Nov 2012
Quarticity and other functionals of volatility: Efficient estimation J. Jacod M. Rosenbaum 58 123 0 16 Jul 2012