基于门限双幂变差的资产价格时点波动非参数估计

doi:10.16381/j.cnki.issn1003-207x.2016.01.003

Abstract

Abstract: The threshold jump-annihilating method to estimate spot volatility of jump-diffusion asset price processes can miss the small jumps and bring about upward bias. In this paper, a new spot volatility estimator of asset prices is proposed based on bipower variation that reduces significantly finite-sample upward bias from jump-filtering-missing. The consistency and asymptotic normality is established. An extensive Monte Carlo simulation shows that the estimator in the paper outperforms the others in literature. The empirical study using Kupiec test based on sample from CSI300 shows that our spot volatility estimator can capture the feather of market risk more accurately.

Key words: Spot Volatility, Poisson Jumps, Bipower Variation, Kernel Smoothing

CLC Number:

F830.9

SHEN Gen-xiang. Nonparametric Estimation for Spot Volatility of Asset Price Using Bipower Variations[J]. Chinese Journal of Management Science, 2016, 24(1): 21-29.

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Nonparametric Estimation for Spot Volatility of Asset Price Using Bipower Variations

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