Optimal kernel estimation of spot volatility of stochastic differential equations
From MaRDI portal
Publication:2186644
DOI10.1016/j.spa.2020.01.013zbMath1441.62225arXiv1612.04507MaRDI QIDQ2186644
José E. Figueroa-López, Cheng Li
Publication date: 9 June 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.04507
62G05: Nonparametric estimation
60F05: Central limit and other weak theorems
60G22: Fractional processes, including fractional Brownian motion
62M09: Non-Markovian processes: estimation
60J65: Brownian motion
Related Items
NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY, Uniform convergence rates for spot volatility estimation, From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution, Optimal iterative threshold-kernel estimation of jump diffusion processes, A data-driven framework for consistent financial valuation and risk measurement, Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation of the instantaneous volatility
- Discretization of processes.
- Spot volatility estimation for high-frequency data
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Spot volatility estimation using delta sequences
- A Brief Survey of Bandwidth Selection for Density Estimation
- Certain Positive-Definite Kernels
- Continuous Record Asymptotics for Rolling Sample Variance Estimators
- NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
- A Tale of Two Time Scales