On Double Smoothed Volatility Estimation of Potentially Nonstationary Jump-Diffusion Model

Yuping Song

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arXiv · 1802.04700

On Double Smoothed Volatility Estimation of Potentially Nonstationary Jump-Diffusion Model

Yuping Song

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Abstract

In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and asymptotic normality for the estimator as the time span $T \rightarrow \infty$ and the sample interval $\Delta_{n} \rightarrow 0.$ The procedure and asymptotic behavior can be applied for both null Harris recurrent and positive Harris recurrent processes.

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Yuping Song. 2018-02-13. On Double Smoothed Volatility Estimation of Potentially Nonstationary Jump-Diffusion Model. https://arxiv.org/abs/1802.04700

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