Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach

By Dennis Kristensen. 2007

187 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/17cf7f3113a097d1b14b900cf92542b6f7167c7a

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Citations in the corpus

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, background): “See Renò (2008) and Kristensen (2010) for alternative estimators of spot volatility.”
Estimating spot volatility with high-frequency financial data (2014, methodology): “This assumption was used in Kristensen (2010).”
Outlyingness weighted covariation (2011, background): “More formally and similar as in Kristensen (2008), we make the following assumption.”
FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA (2013, methodology): “These estimation methods include Kristensen (2010) and Zhang, Mykland, and Aı̈t-Sahalia (2005) for the single asset case and Ait-Sahalia, Fan, and Xiu (2010), Christensen, Kinnebrock, and Podolskij (2010), and Zhang (2011) for the multiple asset case. All these existing volatility estimators perform”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, background): “Asymptotic properties for a class of related estimators of local variance in absence of jumps can be found in Kristensen (2007).”
Non‐parametric detection and estimation of structural change (2012, unknown): “As an alternative to trimming, a boundary kernel or local linear kernel estimator could be used in the nonparametric estimation since these do not carry any biases at the boundaries, see Kristensen (2010) for a further discussion.”
Adaptive estimation of continuous-time regression models using high-frequency data (2017, methodology): “The volatility measures of our paper and that of Kristensen (2010) are conceptually similar.”
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2014, methodology): “When comparing our nonparametric estimator (12), for example, to the aforementioned estimator by Kristensen (2010), in our case, the actual bandwidth is (2Kn + 1)hn (or smaller), since we smooth over (up to) (2Kn + 1) adjacent blocks of length hn.”
Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “…quadratic variation of the spot volatility processV (based on a spot volatility estimator, see e.g. Aı̈tSahalia & Jacod (2009), Bandi & Renò (2008), Kristensen (2010), Lee & Mykland (2008), Veraart (2010)) and test statistically whether the estimated[V ] has independent and stationary…”
The drift burst hypothesis (2016, unknown): “Building on the work by Bandi (2002); Kristensen (2010) for coefficient estimation and Newey and West (1987); Andrews (1991); Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008) for the robustification to microstructure noise, we formulate a non-parametric kernel-based filtering approach that…”
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA (2009, unknown): “…application can be found in the recent literature on nonparametric simulated maximumlikelihood and generalized method of moments (GMM) estimation (Altissimo and Mele, 2008; Brownlees, Kristensen, and Shin, 2009; Creel and Kristensen, 2009; Fermanian and Salanié, 2004; Kristensen and Shin, 2008).”
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (2016, background): “Related estimators of spot volatility have been suggested in the literature; see, e.g., Kristensen (2010), Bos et al. (2012), and Zu and Boswijk (2014).”