Estimating the volatility occupation time via regularized Laplace inversion

• 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
• Institution: Singapore Management University

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...