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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Bibliographic Details
Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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
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