Spot volatility estimation for high-frequency data
0101 mathematics
01 natural sciences
DOI:
10.4310/sii.2008.v1.n2.a5
Publication Date:
2013-08-31T01:04:28Z
AUTHORS (2)
ABSTRACT
The availability of high-frequency intraday data allows us to accurately estimate stock volatility. This paper employs a bivariate diffusion to model the price and volatility of an asset and investigates kernel type estimators of spot volatility based on high-frequency return data. We establish both pointwise and global asymptotic distributions for the estimators.
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