Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models
Keyword(s):
We consider nonparametric spot volatility estimation for diffusion models with discrete high frequency observations. Our estimator is carried out in two steps. First, using the local average of the range-based variance, we propose a crude estimator of the spot volatility. Second, we use usual nonparametric kernel smoothing to reconstruct the volatility function from the crude estimator. By inference, we find such a double smoothing operation can effectively reduce the estimation error.
Keyword(s):
2008 ◽
Vol 1
(2)
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pp. 279-288
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Keyword(s):
Keyword(s):
2015 ◽
Vol 15
(8)
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pp. 1331-1345
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