Estimating spot volatility in the presence of infinite variation jumps
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DOI: 10.1016/j.spa.2017.08.015
Abstract: Abstract We propose a kernel estimator for the spot volatility of a semi-martingale at a given time point by using high frequency data, where the underlying process accommodates a jump part of infinite variation. The… read more here.
Keywords: infinite variation; spot volatility; estimator;