G-M integrated type instantaneous volatility estimation
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Publication:5237656
zbMATH Open1480.60244MaRDI QIDQ5237656FDOQ5237656
Shanchao Yang, Xin Yang, Wei-Wei Xu
Publication date: 18 October 2019
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asymptotic propertiesdiffusion processinstantaneous volatilityGasser-Müller integrated type estimator
Asymptotic properties of nonparametric inference (62G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60) Stochastic models in economics (91B70)
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- The asymptotics of the integrated self-weighted cross volatility estimator
- Estimation of stochastic volatility models by nonparametric filtering
- NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
- Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
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