Uniform convergence rates for spot volatility estimation

DOI10.3934/PUQR.2023014MaRDI QIDQ6064073zbMATH OpenOpenAlexFDO

Authors

Publication date 8 November 2023

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/puqr.2023014

zbMATH Keywords

Itô semimartingalespot volatilityuniform convergence rates

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Recommendations

• Spot volatility estimation using delta sequences
• Some uniform convergence results for kernel estimators
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Strong consistency of the kernel estimator of spot volatility for diffusion process
• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps

Cites work

• Discretization of processes.
• Edgeworth corrections for spot volatility estimator
• Estimating spot volatility with high-frequency financial data
• Estimation of stochastic volatility models by nonparametric filtering
• Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
• Fourier series method for measurement of multivariate volatilities
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Modeling and Forecasting Realized Volatility
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Optimal kernel estimation of spot volatility of stochastic differential equations
• Spot volatility estimation for high-frequency data
• Spot volatility estimation using delta sequences
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

Cited in

(4)

• Edgeworth corrections for spot volatility estimator
• A central limit theorem for the functional estimation of the spot volatility
• Convergence rates results for recovering the volatility term structure including at-the-money options
• Strong consistency of the kernel estimator of spot volatility for diffusion process

This page was built for publication: Uniform convergence rates for spot volatility estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6064073)