Estimation of the quadratic variation of log prices based on the Itô semi-martingale

As the availability of high-frequency data becomes more widespread, it has become very popular to model random fluctuations of some econometric variables over time using Itô semi-martingale. An emblematic problem is to estimate the quadratic variation, i.e., the integrated volatility of log prices,...

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Bibliographic Details

Published in:	Electronic Research Archive
Main Authors:	Erlin Guo, Patrick Ling
Format:	Article
Language:	English
Published:	AIMS Press 2024-01-01
Subjects:	multiple sub-grids threshold endogenous jumps semi-martingale
Online Access:	https://www.aimspress.com/article/doi/10.3934/era.2024038?viewType=HTML