Optimal kernel estimation of spot volatility of stochastic differential equations

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

zbMATH Keywords

kernel estimation; bandwidth selection; spot volatility estimation; kernel function selection

Mathematics Subject Classification ID

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

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