Optimal nonparametric range-based volatility estimation

Optimal nonparametric range-based volatility estimation

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the...

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Bibliographic Details
Main Authors: BOLLERSLEV, Tim, LI, Jia, LI, Qiyuan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
spot volatility
nonparametric estimation
range-based estimation
high-frequency data
decision theory
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/2646
https://ink.library.smu.edu.sg/context/soe_research/article/3645/viewcontent/Decision_av_2023.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2646
https://ink.library.smu.edu.sg/context/soe_research/article/3645/viewcontent/Decision_av_2023.pdf

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