NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS

DOI10.1111/jtsa.12082zbMath1311.62176OpenAlexW1616886721MaRDI QIDQ5176864

Chao Yu, Bo Zhang, Zeng Li, Xujie Zhao, Yue Fang

Publication date: 4 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12082

zbMATH Keywords

kernel estimationhigh-frequency datathresholdvolatilityjumptime dependent

Mathematics Subject Classification ID

Related Items (5)

Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Edgeworth corrections for spot volatility estimator ⋮ Nonparametric estimation of jump characteristics under market microstructure noise ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps

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