Advances and Applications in Statistics
Volume 55, Issue 2, Pages 175 - 192
(April 2019) http://dx.doi.org/10.17654/AS055020175 |
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G-M INTEGRATED TYPE INSTANTANEOUS VOLATILITY ESTIMATION
Shanchao Yang, Weiwei Xu and Xin Yang
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Abstract: In this paper, a Gasser-Müller integrated type instantaneous volatility estimator is proposed for the diffusion process. Under suitable conditions, the asymptotic unbiasedness and weak consistency of the estimators are proved, asymptotic mean square error (AMSE for short) is derived. The estimation effect of this estimation is studied by numerical simulation. The results show that the estimation effect of this integrated type instantaneous volatility estimator is the same as that of the kernel weighted instantaneous volatility estimator proposed by Kristensen [16], and both of them are good estimators under high frequency financial data environment. |
Keywords and phrases: diffusion process, instantaneous volatility, Gasser-Müller integrated type estimator, asymptotic properties.
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