Dynamic Integration of Time- and State-domain Methods for Volatility Estimation
时间域与状态域方法的动态整合波动率估计
Time- and state-domain methods are two common approaches for nonparametric prediction. The former predominantly uses the data in the recent history while the latter mainly relies on historical information. The question of combining these two pieces of valuable information is an interesting challenge in statistics. We surmount this problem via dynamically integrating information from both the time and the state domains. The estimators from both domains are optimally combined…