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Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321

Persistent link: https://www.econbiz.de/10012177350

Testing for Stationarity of Volatility Curves

Andersen, Torben G.; Tan, Yingwen; Todorov, Viktor; … - 2023

We develop a test for stationarity of latent volatility curves over time using high-frequency financial data. For deriving the asymptotic size and power of the test, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties of our...

Persistent link: https://www.econbiz.de/10014349529

Estimation of Jump Tails

Bollerslev, Tim - 2011

with in-fill asymptotic arguments for uniquely identifying the \large" jumps from the data. The estimation allows for very … variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

Persistent link: https://www.econbiz.de/10013133664

Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

Todorov, Viktor - 2010

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …

Persistent link: https://www.econbiz.de/10013137409

Estimation of Jump Tails

Bollerslev, Tim - 2010

with in-fill asymptotic arguments for uniquely identifying the "large" jumps from the data. The estimation allows for very … variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

Persistent link: https://www.econbiz.de/10013144212