Nonparametric range-based double smoothing spot volatility estimation for diffusion models
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Publication:2210240
Summary: 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.
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Cited in
(5)- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
- Double-smoothed drift estimation of jump-diffusion model
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
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