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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| 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 |