Strong consistency of the kernel estimator of spot volatility for diffusion process

MaRDI QIDQ6141817FDOQ6141817

Authors Xin Yang, Shanchao Yang, Guo-Dong Xing, Xiutao Yang 

Publication date 23 January 2024

Full work available at URL http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2023.03.005

zbMATH Keywords

strong consistencykerneldiffusion processestimatorspot volatility

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Diffusion processes (60J60)

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Cites Work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• The asymptotics of the integrated self-weighted cross volatility estimator

Cited In (1)

• Uniform convergence rates for spot volatility estimation

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