Volatility estimation from a view point of entropy

Jirô Akahori; Ryuya Namba; Atsuhito Watanabe

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arXiv · 2410.15307

Volatility estimation from a view point of entropy

Jirô Akahori·Ryuya Namba·Atsuhito Watanabe

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Abstract

In the present paper, we first revisit the volatility estimation approach proposed by N. Kunitomo and S. Sato, and second, we show that the volatility estimator proposed by P. Malliavin and M.E. Mancino can be understood in a unified way by the approach. Third, we introduce an alternative estimator that might overcome the inconsistency caused by the microstructure noise of the initial observation.

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Jirô Akahori, Ryuya Namba, Atsuhito Watanabe. 2024-10-20. Volatility estimation from a view point of entropy. https://arxiv.org/abs/2410.15307

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