Volatility occupation times
We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed Itô semimartingale on a fixed interval when the mesh of the observation grid shrinks to zero asymptotically. In a first step we estim...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2569 https://ink.library.smu.edu.sg/context/soe_research/article/3568/viewcontent/Volatility_Occupation_Times.pdf |
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| Institution: | Singapore Management University |
| Language: | English |