Volatility occupation times

• Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: high-frequency data; local approximation; nonparametric estimation; occupation time; quantiles; spot variance; stochastic volatility; Econometrics; Economic Theory
• 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
• Institution: Singapore Management University

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...