Jump to ContentJump to Main Navigation
High-Frequency Financial Econometrics$
Users without a subscription are not able to see the full content.

Yacine Aït-Sahalia and Jean Jacod

Print publication date: 2014

Print ISBN-13: 9780691161433

Published to University Press Scholarship Online: October 2017

DOI: 10.23943/princeton/9780691161433.001.0001

Show Summary Details
Page of
date: 14 December 2017

Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process

Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process

Chapter:
(p.83) Chapter 3 Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process
Source:
High-Frequency Financial Econometrics
Author(s):

Yacine Aïıt-Sahalia

Jean Jacod

Publisher:
Princeton University Press
DOI:10.23943/princeton/9780691161433.003.0003

This chapter presents the simple situation of a one-dimensional continuous martingale to “estimate” its integrated volatility. For pedagogical reasons, it demonstrates nearly every statement beyond classical probability theory, without appealing to outside results: “demonstrate” is in fact too ambitious a word, since complete proofs are quite intricate in the most general situation, but a precise scheme is given for all proofs, emphasizing methods and ideas. These schematic proofs can serve as a template for the other situations encountered in the book, whose proofs will typically invoke general central limit theorems that are only stated in Appendix A, or elsewhere in the literature.

Keywords:   one-dimensional continuous martingale, integrated volatility estimation, stable convergence, stochastic volatility, high-frequency trading, financial data, stochastic processes

University Press Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs, and if you can't find the answer there, please contact us .