distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …

We develop a Bayesian approach for parsimoniously estimating the correlation structure of the errors in a multivariate … stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors … is potentially very large, we impose a prior that allows the off-diagonal elements of the inverse of the correlation …

We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale … in local estimation blocks, our theory treats the estimation block size k as fixed. While the resulting spot volatility … estimator is no longer consistent, the new theory permits the construction of asymptotically valid and easy …

issues involves the construction of the global correlation matrix. Typically correlation matrices for each assets' degrees of … freedom are set and the challenge is to build a global correlation matrix which at least recovers these individual correlation … general methodology for constructing such correlation matrices that uses few parameters, is based on correlations of physical …