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| Main Author: | |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2604.27665 |
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| _version_ | 1866911636013449216 |
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| author | Guo, Yi |
| author_facet | Guo, Yi |
| contents | In this paper, we aim at estimating the quarticity of continuous Itô semimartingales. Instead of using some classical estimators, we introduce a more intuitive one and establish a central limit theorem (CLT) for it, with a convergence rate of $1/\sqrt{Δ_n}$ in the sense of stable convergence. Moreover, we compare the asymptotic variance of this estimator with that of other existing estimators. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_27665 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A note on estimation of quarticity based on spot volatility Guo, Yi Statistics Theory Probability In this paper, we aim at estimating the quarticity of continuous Itô semimartingales. Instead of using some classical estimators, we introduce a more intuitive one and establish a central limit theorem (CLT) for it, with a convergence rate of $1/\sqrt{Δ_n}$ in the sense of stable convergence. Moreover, we compare the asymptotic variance of this estimator with that of other existing estimators. |
| title | A note on estimation of quarticity based on spot volatility |
| topic | Statistics Theory Probability |
| url | https://arxiv.org/abs/2604.27665 |