Bias-optimal vol-of-vol estimation: the role of window overlapping
Sign Up to like & getrecommendations! Published in 2021 at "Decisions in Economics and Finance"
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
Estimating spot volatility in the presence of infinite variation jumps
Sign Up to like & getrecommendations! Published in 2017 at "Stochastic Processes and their Applications"
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;