"Sound and Fury": Nonlinear Functionals of Volatility Matrix in the Presence of Jump and Noise
“喧哗与骚动”:跳跃与噪声下波动率矩阵非线性泛函的推断
This paper resolves a pivotal open problem on nonparametric inference for nonlinear functionals of volatility matrix. Multiple prominent statistical tasks can be formulated as functionals of volatility matrix, yet a unified statistical theory of general nonlinear functionals based on noisy data remains challenging and elusive. Nonetheless, this paper shows it can be achieved by combining the strengths of pre-averaging, jump truncation and nonlinearity bias correction. In…