most citedLarge deviations of the realized (co-)volatility vector

2 citations · 2 across the 2 of their papers we have counts for

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2 papers

math.PR2016

Moderate deviations for bipower variation of general function and Hayashi-Yoshida estimators

Hacène Djellout, Arnaud Guillin, Hui Jiang +1

We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a ne…

math.PR2014★ 2 cited

Large deviations of the realized (co-)volatility vector

Hacène Djellout, Arnaud Guillin, Yacouba Samoura

Realized statistics based on high frequency returns have become very popular in financial economics. In recent years, different non-parametric estimators of the variation of a log-…