{"paper":{"title":"Inference for Volatility Functionals of Multivariate It\\^o Semimartingales Observed with Jump and Noise","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.ST","stat.ME","stat.TH"],"primary_cat":"math.ST","authors_text":"Richard Y. Chen","submitted_at":"2018-10-10T19:37:15Z","abstract_excerpt":"This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and jumps. Second-order expansion reveals explicit biases and a pathway to bias correction. Estimators based on this framework achieve the optimal convergence rate. A class of stable central limit theorems are attained with estimable asymptotic covariance matrices. This paper form a basis for infill asymptotic results of, for example, the realized Laplace transf"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1810.04725","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/1810.04725/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}