References
- Alvarez, A.,. F. Panloup, M. Pontier, and N. Savy. 2012. Estimation of the instantaneous volatility. Statistical Inference for Stochastic Processes 15 (1):27–59. doi:10.1007/s11203-011-9062-2.
- Bandi, F. M., and T. H. Nguyen. 2003. On the functional estimation of jump-diffusion models. Journal of Econometrics 116 (1-2):293–328. doi:10.1016/S0304-4076(03)00110-6.
- Bandi, F. M., and P. C. B. Phillips. 2003. Fully nonparametric estimation of scalar diffusion models. Econometrica 71 (1):241–83. doi:10.1111/1468-0262.00395.
- Barndorff-Nielsen, O. E., and N. Shephard. 2002a. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 64 (2):253–80. doi:10.1111/1467-9868.00336.
- Barndorff-Nielsen, O. E., and N. Shephard. 2002b. Estimating quadratic variation using realized variance. Journal of Applied Econometrics 17 (5):457–77. doi:10.1002/jae.691.
- Barndorff-Nielsen, O. E., and N. Shephard. 2003. Realized power variation and stochastic volatility models. Bernoulli 9 (2):243–65. doi:10.3150/bj/1068128977.
- Barndorff-Nielsen, O. E., and N. Shephard. 2004. Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics 2 (1):1–37. doi:10.1093/jjfinec/nbh001.
- Fan, J., Y. Fan, and J. Lv. 2007. Aggregation of nonparametric estimators for volatility matrix. Journal of Financial Econometrics 5 (3):321–57. doi:10.1093/jjfinec/nbm008.
- Hsu, P. L., and H. Robbins. 1947. Complete convergence and the law of large Numbers. Proceedings of the National Academy of Sciences of the United States of America 33 (2):25–31. doi:10.1073/pnas.33.2.25.
- Kristensen, D. 2010. Nonparametric filtering of the realized spot volatility: A kernel-based approach. Econometric Theory 26 (1):60–93. doi:10.1017/S0266466609090616.
- Li, C., and E. Guo. 2018. Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity. Communications in Statistics - Theory and Methods 47 (3):521–31. doi:10.1080/03610926.2017.1307403.
- Li, C. X., X. L. Liang, B. Y. Jing, and X. B. Kong. 2013. The asymptotics of the integrated self-weighted cross volatility estimator. Journal of Statistical Planning and Inference 143 (10):1708–18. doi:10.1016/j.jspi.2013.05.003.
- Li, Y., S. Xie, and X. Zheng. 2016. Efficient estimation of integrated volatility incorporating trading information. Journal of Econometrics 195 (1):33–50. doi:10.1016/j.jeconom.2016.05.017.
- Podolskij, M., and M. Vetter. 2009. Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. Bernoulli 15 (3):634–58. doi:10.3150/08-BEJ167.
- Rosenthal, H. P. 1970. On the subspaces of Lp(p>2) spanned by sequences of independent random variables. Israel Journal of Mathematics 8 (3):273–303.
- Zu, Y., and H. P. Boswijk. 2014. Estimating spot volatility with high-frequency financial data. Journal of Econometrics 181 (2):117–35. doi:10.1016/j.jeconom.2014.04.001.