发帖
雷达卡
英文文献：Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach-实现的点波动率的非参数滤波:一种基于核的方法
英文文献作者：Dennis Kristensen
英文文献摘要：
A kernel weighted version of the standard realised integrated volatility es- timator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator of the realised spot volatility is obtained. We denote this the filtered spot volatility. We show con- sistency and asymptotic normality of the kernel smoothed realised volatility and the filtered spot volatility. The choice of bandwidth is discussed and data- driven selection methods proposed. A simulation study examines the finite sample properties of the estimators.
提出了一种标准实现的综合挥发度定时器的核加权版本。通过核和带宽的不同选择，该措施允许我们关注波动过程的特定特征。特别地，当带宽消失时，一个估计已实现的点波动率是得到的。我们表示这是过滤的斑点波动。我们证明了核平滑的实现波动和滤波后的点波动的一致性和渐近正态性。讨论了带宽的选择，提出了数据驱动的带宽选择方法。通过仿真研究了估计量的有限样本性质。
京公网安备 11010802022788号
