Estimation of the instantaneous volatility

DOI10.1007/S11203-011-9062-2zbMATH Open1243.62129OpenAlexW2154327976MaRDI QIDQ411549FDOQ411549

Authors Alexander Alvarez, Fabien Panloup, Monique Pontier, Nicolas Savy

Publication date 4 April 2012

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.3538

zbMATH Keywords

central limit theoremsemimartingalespower variation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)

Abstract: This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: $d{X}_t=a_{t}dt+sigm{a}_{t}d{W}_t$, where $X$ denotes the log-price and $sigma$ is a c`adl`ag semi-martingale. In the spirit of a series of recent works on the estimation of the cumulated volatility, we here focus on the instantaneous volatility for which we study estimators built as finite differences of the extit{power variations} of the log-price. We provide central limit theorems with an optimal rate depending on the local behavior of $sigma$. In particular, these theorems yield some confidence intervals for $sigm{a}_t$.

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Cited in

(29)

• Parametric estimation for discretely observed stochastic processes with jumps
• On a real-time scheme for the estimation of volatility
• Correcting spot power variation estimator via Edgeworth expansion
• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• Testing the local volatility assumption: a statistical approach
• On a real-time scheme for the estimation of volatility
• Simultaneous confidence statements about the diffusion coefficient of an Itô-process with application to spot volatility estimation
• Volatility estimation from short time series of stock prices
• Real-time estimation scheme for the spot cross volatility of jump diffusion processes
• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem
• Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
• Estimating the instantaneous volatility and covariance of risky assets
• Volatility estimation under one-sided errors with applications to limit order books
• Bootstrapping Laplace transforms of volatility
• Estimation of integrated volatility in stochastic volatility models
• On the complete consistency of the kernel estimator of spot volatility
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
• Spot volatility estimation using delta sequences
• Testing for non-correlation between price and volatility jumps
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
• Estimating the long rate and its volatility
• Statistical decomposition of volatility
• Quarticity and other functionals of volatility: efficient estimation
• Optimal kernel estimation of spot volatility of stochastic differential equations
• An unbounded intensity model for point processes
• G-M integrated type instantaneous volatility estimation
• Central limit theorem for the realized volatility based on tick time sampling
• Strong consistency of the kernel estimator of spot volatility for diffusion process

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