Giacomo Toscano, Maria Cristina Recchioni
arXiv 8 Apr 2020 · Econometrics · publishedDecisions in Economics and Finance (2021) · 5 citations (OpenAlex)
arXiv:2004.04013 · PDF · DOI · OpenAlex · Extracted main text
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009). Our analytic results are obtained assuming that the spot volatility is a continuous mean-reverting process and that consecutive local windows for estimating the spot volatility are allowed to overlap in a finite sample setting. Moreover, our analytic results support some optimal selections of tuning parameters prescribed in the literature, based on numerical evidence. Interestingly, it emerges that window-overlapping is crucial for optimizing the finite-sample bias of volatility-of-volatility estimates.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Sanfelici, S., Curato, I., and Mancino, M (2015) High frequency volatility of volatility estimation free from spot volatility estimates | 1.000 | 21 | 6 | 100% |
| 2 | Aït-Sahalia, Y., Fan, J., and Li, Y (2013) The leverage effect puzzle: disentangling sources of bias at high frequency | 1.000 | 8 | 4 | 100% |
| 3 | Andersen, T., Bollerslev, T., Diebold, F., and Ebens, H (2001) The distribution of realized stock return volatility | 1.000 | 5 | 5 | 100% |
| 4 | Aït-Sahalia, Y., Fan, J., Laeven, R., Wang, C. D., and Yang, X (2017) Estimation of the continuous and discontinuous leverage effects | 1.000 | 5 | 3 | 100% |
| 5 | Vetter, M (2015) Estimation of integrated volatility of volatility with applications to goodness-of-fit testing | 0.928 | 4 | 3 | 100% |
| 6 | Platen, E (1997) A non-linear stochastic volatility model | 0.843 | 3 | 3 | 100% |
| 7 | Heston, S (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options | 0.843 | 3 | 3 | 100% |
| 8 | Nelson, D (1990) Arch models as diffusion approximations | 0.843 | 3 | 3 | 100% |
| 9 | Barndorff-Nielsen, O. and Veraart, A (2009) Stochastic volatility of volatility in continuous time | 0.811 | 4 | 2 | 100% |
| 10 | Bollerslev, T. and Zhou, H (2002) Estimating stochastic volatility diffusion using conditional moments of integrated volatility | 0.754 | 7 | 3 | 43% |
Showing the top 10 of 43 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts | 0.405 | 1 | 1 |