Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps

DOI10.1186/S13662-020-02832-5MaRDI QIDQ2114256zbMATH OpenOpenAlexFDO

Authors Jingwei Cai, Quanxin Zhu, Ping Chen

Publication date 15 March 2022

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-020-02832-5

zbMATH Keywords

high-frequency datarange-based estimatorspot volatilitythresholdtime-dependent

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
• Central limit theorems of local polynomial threshold estimator for diffusion processes with jumps
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• Estimating spot volatility with high-frequency financial data
• Forecast the realized range-based volatility: the role of investor sentiment and regime switching
• scientific article; zbMATH DE number 7696400 (Why is no real title available?)
• Inference for volatility-type objects and implications for hedging
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
• Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
• Realized range-based estimation of integrated variance
• Spot volatility estimation for high-frequency data
• Testing for jumps in a discretely observed process
• Threshold estimation of Markov models with jumps and interest rate modeling
• Volatility asymmetry in functional threshold GARCH model

Cited in

(11)

• Optimal iterative threshold-kernel estimation of jump diffusion processes
• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• Nonparametric spot volatility from options
• Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
• Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
• Some remarks on the real-time scheme for the estimation of spot volatility
• Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps
• NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• Spot volatility estimation for high-frequency data

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