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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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Published in:Journal of Financial Econometrics Vol. 24; no. 1; pp. 1 - 23
Main Authors: Bollerslev, Tim, Li, Jia, Li, Qiyuan, Li, Yifan
Format: Article
Published: Oxford University Press / USA 2026
Subjects:
Sampling (Process)
Market volatility
Confidence intervals
Numerical calculations
High-frequency trading (Securities)
Online Access:View this record in EBSCOhost

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