发帖
雷达卡
摘要翻译：
利用Barndorff Nielsen和Veraart(2009)提出的简单实现估计器，导出了估计现货波动率综合波动率时所涉及的调整参数偏差最优选择的一个可行准则。我们的分析结果是假设现货波动率是一个连续的均值回复过程，并且在有限样本条件下允许连续的局部窗口重叠估计现货波动率。此外，基于数值证据，我们的分析结果支持了文献中所规定的调谐参数的一些最佳选择。有趣的是，窗口重叠对于优化波动率估计的有限样本偏差至关重要。
---
英文标题：
《Bias optimal vol-of-vol estimation: the role of window overlapping》
---
作者：
Giacomo Toscano, Maria Cristina Recchioni
---
最新提交年份：
2021
---
分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
--
---
英文摘要：
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009). Our analytic results are obtained assuming that the spot volatility is a continuous mean-reverting process and that consecutive local windows for estimating the spot volatility are allowed to overlap in a finite sample setting. Moreover, our analytic results support some optimal selections of tuning parameters prescribed in the literature, based on numerical evidence. Interestingly, it emerges that window-overlapping is crucial for optimizing the finite-sample bias of volatility-of-volatility estimates.
---
PDF链接：
https://arxiv.org/pdf/2004.04013
京公网安备 11010802022788号
