Optimal Candlestick-Based Spot Volatility Estimation: New Tricks and Feasible Inference Procedures.

We contribute to the growing literature on high-frequency spot volatility estimation by deriving a new integral representation for the recently introduced asymptotic minimum risk equivariant (AMRE) candlestick-based class of estimators. Our new theoretical representation enables the practical numeri...

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Publicado en:	Journal of Financial Econometrics Vol. 24; no. 1; pp. 1 - 23
Autores principales:	Bollerslev, Tim, Li, Jia, Li, Qiyuan, Li, Yifan
Formato:	Artículo
Publicado:	Oxford University Press / USA 2026
Materias:	Sampling (Process) Market volatility Confidence intervals Numerical calculations High-frequency trading (Securities)
Acceso en línea:	Ver este registro en EBSCOhost