An improved two-step regularization scheme for spot volatility estimation
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References listed on IDEAS
- Nielsen, Morten Ørregaard & Frederiksen, Per, 2008.
"Finite sample accuracy and choice of sampling frequency in integrated volatility estimation,"
Journal of Empirical Finance,
Elsevier, vol. 15(2), pages 265-286, March.
- Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Accuracy of Integrated Volatility Estimators," Working Papers 1225, Queen's University, Department of Economics.
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- Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich, 2011. "Functional data analysis for volatility," Journal of Econometrics, Elsevier, vol. 165(2), pages 233-245.
- Charles S. Bos & Paweł Janus & Siem Jan Koopman, 2012.
"Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 10(2), pages 354-389, 2012 06.
- Charles S. Bos & Pawel Janus & Siem Jan Koopman, 2009. "Spot Variance Path Estimation and its Application to High Frequency Jump Testing," Tinbergen Institute Discussion Papers 09-110/4, Tinbergen Institute.
More about this item
KeywordsSpot volatility; Nonparametric estimation; Multi-step regularization; Microstructure;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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