Bollerslev, Tim; Li, Jia; Liao, Zhipeng - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1053-1084
in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility …-dimensional inference setting with a growing number of estimation blocks further permits the construction of uniform confidence bands for …