Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing

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INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (2009, methodology): “These results follow directly from From Theorem 4.1 and the bivariate delta method for stable convergence (see Dette et al. (2006) ).”
An updated review of Goodness-of-Fit tests for regression models (2013, background): “Dette et al. (2006) and Dette and Podolskij (2008) assessed the parametric form based on estimations and stochastic processes of the integrated volatility.”
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “There are several existing tests of constant volatility available in the high-frequency volatility area (see, e.g., Dette, Podolskij, and Vetter, 2006; Dette and Podolskij, 2008; Vetter and Dette, 2012).”
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (2011, background): “See [14] for the asymptotic theory of the analogue of M2 in the local volatility setting.”
Understanding limit theorems for semimartingales: a short survey (2009, unknown): “[1], [5], [8]).”