Bias-optimal vol-of-vol estimation: the role of window overlapping
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DOI: 10.1007/s10203-021-00349-4
Abstract: 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… read more here.
Keywords: window overlapping; volatility; vol; bias optimal ... See more keywords