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Some New Estimators of Integrated Volatility

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DOI: 10.4236/ojs.2011.12008    4,262 Downloads   7,335 Views   Citations

ABSTRACT

We develop higher order accurate estimators of integrated volatility in a stochastic volatility models by using kernel smoothing method and using different weights to kernels. The weights have some relationship to moment problem. As the bandwidth of the kernel vanishes, an estimator of the instantaneous stochastic volatility is obtained. We also develop some new estimators based on smoothing splines.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

J. Bishwal, "Some New Estimators of Integrated Volatility," Open Journal of Statistics, Vol. 1 No. 2, 2011, pp. 74-80. doi: 10.4236/ojs.2011.12008.

References

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