310 citations · 565 across the 13 of their papers we have counts for
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math.ST2012★ 17 cited
Model checks for the volatility under microstructure noise
Mathias Vetter, Holger Dette
We consider the problem of testing the parametric form of the volatility for high frequency data. It is demonstrated that in the presence of microstructure noise commonly used test…
math.ST2012★ 42 cited
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
Mathias Vetter
In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integr…
math.ST2012★ 27 cited
Nonparametric inference on Lévy measures and copulas
Axel Bücher, Mathias Vetter
In this paper nonparametric methods to assess the multivariate Lévy measure are introduced. Starting from high-frequency observations of a Lévy process , we construct e…