噪音环境下跳扩散模型中积分波动率的非参数估计

Nonparametric Estimation of the Integrated Volatility of Jump-Diffusion Processes with Noisy High-Frequency Data

  • 摘要: 本文研究了噪音环境下跳--扩散过程的积分波动率非参数估计问题. 利用门限技术, 分别提出了积分波动率的门限两尺度与多尺度已实现波动率估计量, 并获得了相应的大样本性质, 推广了已有文献的结果.

     

    Abstract: This paper studies nonparametric estimation of the integrated volatility of Poisson jump-diffusion processes with noisy high-frequency data. We propose jump-robust two-scale and multi-scale estimators. The estimators are based on a combination of the multi-scale method and threshold technique, which serves to remove microstructure noise and jumps, respectively. Furthermore, asymptotic properties of the proposed estimators, such as consistency, are established.

     

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