On the complete consistency of the kernel estimator of spot volatility

DOI10.1080/03610926.2022.2049309OpenAlexW4293102743MaRDI QIDQ6053854

Shan-chao Yang, Guo-Dong Xing

Publication date: 24 October 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2049309

zbMATH Keywords

complete convergencekernel estimationconvergence ratespot volatility

Mathematics Subject Classification ID

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

Cites Work

• Efficient estimation of integrated volatility incorporating trading information
• The asymptotics of the integrated self-weighted cross volatility estimator
• Estimation of the instantaneous volatility
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• On the functional estimation of jump-diffusion models.
• Realized power variation and stochastic volatility model
• Estimating spot volatility with high-frequency financial data
• On the subspaces of \(L^p\) \((p > 2)\) spanned by sequences of independent random variables
• Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Complete Convergence and the Law of Large Numbers

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