Spot volatility estimation for high-frequency data ∗
By Jianqing Fan, Yazhen Wang. 2008
84 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/781dcbd7b955ff3c1650a31ac32dc68d7a706a4b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Markus Bibinger
- Yang Zu
- H. Peter Boswijk
- Nikolaus Hautsch
- Markus Reiß
- Per Aslak Mykland
- Peter Malec
- Lan Zhang
In Finance
- Markus Bibinger
- Nikolaus Hautsch
- H. Peter Boswijk
- Yang Zu
- Markus Reiß
- Per Aslak Mykland
- Peter Malec
- Lan Zhang
Citations in the corpus
- Inference for volatility-type objects and implications for hedging (2008, background): “An approach to simultaneous intervals based on strong approximation can be found in Fan and Wang (2008) and Zhao and Wu (2008).”
- Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2014, methodology): “A nonparametric (kernel-type) estimator in the absence of microstructure noise is put forward by Foster and Nelson (1996), Fan and Wang (2008), and Kristensen (2010).”
- Estimating spot volatility with high-frequency financial data (2014, methodology): “With sparsely sampled data, one can apply the nonparametric RSV estimator as in Mykland and Zhang (2008), which is a flat-weighted version of the kernel estimator of Fan and Wang (2008) and Kristensen (2010), to estimate the spot variance.”