| Publications [#353244] of Jia Li
Journal Articles
- Li, J; Liu, Y, EFFICIENT ESTIMATION of INTEGRATED VOLATILITY FUNCTIONALS under GENERAL VOLATILITY DYNAMICS,
Econometric Theory
(January, 2020) [doi]
(last updated on 2021/07/07)
Abstract: We provide an asymptotic theory for the estimation of a general class of smooth nonlinear integrated volatility functionals. Such functionals are broadly useful for measuring financial risk and estimating economic models using high-frequency transaction data. The theory is valid under general volatility dynamics, which accommodates both Itô semimartingales (e.g., jump-diffusions) and long-memory processes (e.g., fractional Brownian motions). We establish the semiparametric efficiency bound under a nonstandard nonergodic setting with infill asymptotics, and show that the proposed estimator attains this efficiency bound. These results on efficient estimation are further extended to a setting with irregularly sampled data.
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