Volatility estimation in fractional Ornstein-Uhlenbeck models
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DOI: 10.1080/15326349.2019.1692668
Abstract: Abstract In this article, we study the asymptotic behavior of the realized quadratic variation of a process where u is a β-Hölder continuous process with and where and BH is a fractional Brownian motion with… read more here.
Keywords: models volatility; volatility; estimation fractional; volatility estimation ... See more keywords
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