A new non-parametric estimator of the instantaneous volatility is defined relying on the link between the Laplace transform of the price process and that of the volatility process for Brownian semimartingale models. The proposed estimation method is a global one, in the spirit of methods based on Fourier series decomposition, with a plus for improving the precision of the volatility estimates near the boundary of the time interval. Consistency and asymptotic normality of the proposed estimator are proved. A simulation study confirms the theoretical results and Monte Carlo evidence of the favorable performance of the proposed estimator in the presence of microstructure noise effects is presented.

Spot volatility estimation using the Laplace transform / Curato, Imma Valentina; Mancino, Maria Elvira; Recchioni, Maria Cristina. - In: ECONOMETRICS AND STATISTICS. - ISSN 2452-3062. - STAMPA. - 6:(2018), pp. 22-43.

Spot volatility estimation using the Laplace transform

MANCINO, MARIA ELVIRA;
2018

Abstract

A new non-parametric estimator of the instantaneous volatility is defined relying on the link between the Laplace transform of the price process and that of the volatility process for Brownian semimartingale models. The proposed estimation method is a global one, in the spirit of methods based on Fourier series decomposition, with a plus for improving the precision of the volatility estimates near the boundary of the time interval. Consistency and asymptotic normality of the proposed estimator are proved. A simulation study confirms the theoretical results and Monte Carlo evidence of the favorable performance of the proposed estimator in the presence of microstructure noise effects is presented.
2018
6
22
43
Curato, Imma Valentina; Mancino, Maria Elvira; Recchioni, Maria Cristina
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Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/1074641
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