Nonparametric estimation of volatility function in the jump-diffusion model with noisy data

被引：0

作者：

Ye, Xu-Guo ^{[1
]}

Zhao, Yan-Yong ^{[2
]}

Zhang, Kong-Sheng ^{[3
]}

机构：

[1] Kaili Univ, Sch Sci, Kaili 556011, Peoples R China

[2] Nanjing Audit Univ, Dept Stat, Nanjing, Peoples R China

[3] Anhui Univ Finance & Econ, Inst Stat & Appl Math, Bengbu, Peoples R China

来源：

JOURNAL OF NONPARAMETRIC STATISTICS | 2020年 / 32卷 / 03期

关键词：

Nonparametric technique; volatility function; jump-diffusion processes; microstructure noise; VARYING COEFFICIENT MODELS; LOCAL LINEAR-ESTIMATION; CONTINUOUS-TIME MODELS; INTEGRATED VOLATILITY; TERM STRUCTURE; BANDWIDTH SELECTION; THRESHOLD ESTIMATOR; 2-STEP ESTIMATION; ACTIVITY INDEX; MARKET;

D O I：

10.1080/10485252.2020.1759599

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we propose a two-step approach to estimate the volatility function of a jump-diffusion model in noisy data setting. The preaveraging method and threshold technique is used to remove microstructure noise and jumps, respectively. The newly proposed estimator is shown to be consistent and asymptotically normal. A simulation study and a real data application are undertaken to assess the finite sample performance of the proposed method.

引用

页码：587 / 616

页数：30

共 52 条

[1] Nonparametric pricing of interest rate derivative securities [J].