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math.ST2019
The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations
Richard Y. Chen
We study the volatility functional inference by Fourier transforms. This spectral framework is advantageous in that it harnesses the power of harmonic analysis to handle missing da…
math.ST2018
Inference for Volatility Functionals of Multivariate Itô Semimartingales Observed with Jump and Noise
Richard Y. Chen
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate Itô semimartingales, in high-frequency and noisy setting. Pre-averaging…