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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-07-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-020-02832-5 |