Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise
Richard Y. Chen
Papers from arXiv.org
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and jumps. Second-order expansion reveals explicit biases and a pathway to bias correction. Estimators based on this framework achieve the optimal convergence rate. A class of stable central limit theorems are attained with estimable asymptotic covariance matrices. This paper form a basis for infill asymptotic results of, for example, the realized Laplace transform, the realized principal component analysis, the continuous-time linear regression, and the generalized method of integrated moments, hence helps to extend the application scopes to more frequently sampled noisy data.
Date: 2018-10, Revised 2019-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1810.04725
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