Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
利用核即期波动率估计量估计积分波动率泛函
For a multidimensional Itô semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator based on a Riemann sum approximation of the integrated functional and a spot volatility estimator with a forward uniform kernel. Motivated by recent results that show that spot volatility estimators with general two-side kernels of unbounded support are more accurate, in this paper, an estimator…