Convergence rate for integrated self-weighted volatility by using intraday high-frequency data with noise

Convergence rate for integrated self-weighted volatility by using intraday high-frequency data with noise

High-frequency financial data are becoming increasingly available and need to be analyzed under the current circumstances for the market prices of stocks, currencies, risk analysis, portfolio management and other financial instruments. An emblematic challenge in econometrics is estimating the integr...

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Bibliographic Details
Main Authors: Erlin Guo, Cuixia Li, Patrick Ling, Fengqin Tang
Format: Article
Language:English
Published: AIMS Press 2023-11-01
Series:AIMS Mathematics
Subjects:
nonparametric estimation
self-weighted volatility
high-frequency data
microstructure noise
itô process
Online Access:https://www.aimspress.com/article/doi/10.3934/math.20231590?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.20231590?viewType=HTML

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