Nonparametric volatility estimation in scalar diffusions: Optimality across observation frequencies
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DOI: 10.3150/17-bej950
Abstract: The nonparametric volatility estimation problem of a scalar diffusion process observed at equidistant time points is addressed. Using the spectral representation of the volatility in terms of the invariant density and an eigenpair of the… read more here.
Keywords: nonparametric volatility; estimation scalar; volatility; volatility estimation ... See more keywords