On Double Smoothed Volatility Estimation of Potentially Nonstationary Jump-Diffusion Model

MaRDI QIDQ6297706zbMATH OpenFDO

Authors Yu Ping Song

Publication date 13 February 2018

Abstract: In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and asymptotic normality for the estimator as the time span $Tightarrowinfty$ and the sample interval $Delt{a}_{n}ightarrow0.$ The procedure and asymptotic behavior can be applied for both null Harris recurrent and positive Harris recurrent processes.

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