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Spot volatility estimation using delta sequences

Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and stochastics 19 (2015) 2, pp. 261-293

Persistent link: https://www.econbiz.de/10011417938

Estimation of spot volatility with superposed noisy data

Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79

Persistent link: https://www.econbiz.de/10012036296

Spot volatility estimation using delta sequences

Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and Stochastics 19 (2015) 2, pp. 261-293

to follow a Brownian semimartingale. We then extend our class of estimators to include Poisson jumps or financial … microstructure noise in the observed price process. This work makes different approaches (kernels, wavelets, Fourier) comparable. For …

Persistent link: https://www.econbiz.de/10011241198

Nonparametric tests for pathwise properties of semimartingales

Cont, Rama; Mancini, Cecilia - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2010

whether the jumps have finite or infinite variation, based on observations on a discrete time grid. We evaluate the …

Persistent link: https://www.econbiz.de/10008577667

Estimating spot volatility under infinite variation jumps with dependent market microstructure noise

Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298

Persistent link: https://www.econbiz.de/10015046377

Predictive inference for integrated volatility

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned quantities,...

Persistent link: https://www.econbiz.de/10010282862

Predictive inference for integrated volatility

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011

Persistent link: https://www.econbiz.de/10010282869

Predictive Inference for Integrated Volatility

Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive den- sities and con¯dence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned...

Persistent link: https://www.econbiz.de/10009372759

Nonparametric realized volatility estimation in the international equity markets

Vortelinos, Dimitrios I.; Thomakos, Dimitrios D. - In: International Review of Financial Analysis 28 (2013) C, pp. 34-45

volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a … properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and … international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various …

Persistent link: https://www.econbiz.de/10010666207

Modelling the load curve of aggregate electricity consumption using principal components

Manera, Matteo; Marzullo, Angelo - 2003

Since oil is a non-renewable resource with a high environmental impact, and its most common use is to produce combustibles for electricity, reliable methods for modelling electricity consumption can contribute to a more rational employment of this hydrocarbon fuel. In this paper we apply the...

Persistent link: https://www.econbiz.de/10011592726