Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps

Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps

Abstract We construct a spot volatility kernel estimator of time-dependent diffusion models with jumps. Instead of idiomatic intraday return over an observation interval, in the proposed estimator, we use intraday range. Since the range represents the maximum difference among all observations within...

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Bibliographic Details
Main Authors: Jingwei Cai, Quanxin Zhu, Ping Chen
Format: Article
Language:English
Published: SpringerOpen 2020-07-01
Series:Advances in Difference Equations
Subjects:
Spot volatility
Threshold
Range-based estimator
Time-dependent
High-frequency data
Online Access:http://link.springer.com/article/10.1186/s13662-020-02832-5

Internet

http://link.springer.com/article/10.1186/s13662-020-02832-5

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