Advances and Applications in Statistics
Volume 64, Issue 2, Pages 203 - 235
(October 2020) http://dx.doi.org/10.17654/AS064020203 |
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KERNEL WEIGHTED VOLATILITY ESTIMATION FOR STOCHASTIC DIFFUSION MODEL WITH JUMP
Guobing Ying and Shanchao Yang
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Abstract: In this paper, a kernel weighted bipower variation estimator is used to estimate the realized spot volatility for stochastic volatility model with jumps. Under appropriate conditions, we show consistency and asymptotic normality of the estimator. A simulation study examines the finite sample properties of the estimator. |
Keywords and phrases: kernel weight smoothing volatility estimation, bipower variation, consistency, asymptotic normality.
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