Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models
Author
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-09-21
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We consider nonparametric spot volatility estimation for diffusion models with discrete high frequency observations.
Our estimator is carried out in two steps.
First, using the local average of the range-based variance, we propose a crude estimator of the spot volatility.
Second, we use usual nonparametric kernel smoothing to reconstruct the volatility function from the crude estimator.
By inference, we find such a double smoothing operation can effectively reduce the estimation error.
American Psychological Association (APA)
Cai, Jingwei. 2020. Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models. Complexity،Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1142218
Modern Language Association (MLA)
Cai, Jingwei. Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models. Complexity No. 2020 (2020), pp.1-7.
https://search.emarefa.net/detail/BIM-1142218
American Medical Association (AMA)
Cai, Jingwei. Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models. Complexity. 2020. Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1142218
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1142218