Estimating the volatility occupation time via regularized Laplace inversion

Estimating the volatility occupation time via regularized Laplace inversion

We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale wi...

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Bibliographic Details
Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
semimartingale
long memory
stochastic volatility
semiparametric efficiency
local asymptotic mixed normality
irregular sampling.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2581
https://ink.library.smu.edu.sg/context/soe_research/article/3580/viewcontent/EstimatingVolatilityOccupTime_sv_2015.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2581
https://ink.library.smu.edu.sg/context/soe_research/article/3580/viewcontent/EstimatingVolatilityOccupTime_sv_2015.pdf

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