KERNEL WEIGHTED VOLATILITY ESTIMATION FOR STOCHASTIC DIFFUSION MODEL WITH JUMP

Ying, GB; Yang, SC

Yang, SC (corresponding author), Shangrao Normal Univ, Shangrao, Peoples R China.

ADVANCES AND APPLICATIONS IN STATISTICS, 2020; 64 (2): 203

Abstract

In this paper, a kernel weighted bipower variation estimator is used to estimate the realized spot volatility for stochastic volatility model with jum......

Full Text Link