IDEAS home Printed from https://ideas.repec.org/a/hin/complx/5048925.html
   My bibliography  Save this article

Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models

Author

Listed:
  • Jingwei Cai

Abstract

We consider nonparametric spot volatility estimation for diffusion models with discrete high frequency observations. Our estimator is carried out in two steps. First, using the local average of the range-based variance, we propose a crude estimator of the spot volatility. Second, we use usual nonparametric kernel smoothing to reconstruct the volatility function from the crude estimator. By inference, we find such a double smoothing operation can effectively reduce the estimation error.

Suggested Citation

  • Jingwei Cai, 2020. "Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models," Complexity, Hindawi, vol. 2020, pages 1-7, September.
    • Handle: RePEc:hin:complx:5048925
    DOI: 10.1155/2020/5048925
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/8503/2020/5048925.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/8503/2020/5048925.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2020/5048925?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Guo, Xiaoyang & Liu, Yijia & Zhang, Lemei & Deng, Cunbao & Song, Liuni & Zhang, Yu, 2024. "Regulatory mechanism of microscopic pore structure on anisotropy of gas multimodal seepage in original coals," Energy, Elsevier, vol. 300(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:complx:5048925. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.