scholarly journals Spot Volatility Estimation Using Delta Sequences

2010 ◽  
Author(s):  
Vanessa Mattiussi ◽  
Roberto Renò
Keyword(s):  
Volatility Estimation ◽  
Spot Volatility

Spot Volatility Estimation Using the Laplace Transform

2014 ◽  
Author(s):  
Maria Elvira Mancino ◽  
Imma Valentina Curato ◽  
Maria Cristina Recchioni
Keyword(s):  
Laplace Transform ◽  
Volatility Estimation ◽  
The Laplace Transform ◽  
Spot Volatility

Spot volatility estimation using the Laplace transform

2018 ◽  
Vol 6 ◽  
pp. 22-43 ◽  
Author(s):  
Imma Valentina Curato ◽  
Maria Elvira Mancino ◽  
Maria Cristina Recchioni
Keyword(s):  
Laplace Transform ◽  
Volatility Estimation ◽  
The Laplace Transform ◽  
Spot Volatility

scholarly journals Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-7
Author(s):  
Jingwei Cai
Keyword(s):  
High Frequency ◽  
Kernel Smoothing ◽  
Estimation Error ◽  
Diffusion Models ◽  
Volatility Estimation ◽  
Double Smoothing ◽  
Volatility Function ◽  
Nonparametric Kernel ◽  
Spot Volatility ◽  
Local Average

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.

scholarly journals Spot volatility estimation using delta sequences

2015 ◽  
Vol 19 (2) ◽  
pp. 261-293 ◽  
Author(s):  
Cecilia Mancini ◽  
Vanessa Mattiussi ◽  
Roberto Renò
Keyword(s):  
Volatility Estimation ◽  
Spot Volatility
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