Occupation density estimation for noisy high-frequency data
This paper studies the nonparametric estimation of occupation densities for semimartingale processes observed with noise. As leading examples we consider the stochastic volatility of a latent efficient price process, the volatility of the latent noise that separates the efficient price from the actu...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2578 https://ink.library.smu.edu.sg/context/soe_research/article/3577/viewcontent/occ_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |