VOLATILITY OCCUPATION TIMES

• 成果类型: Article
• 署名作者: Li, Jia; Todorov, Viktor; Tauchen, George
• 署名单位: Duke University; Northwestern University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/13-AOS1135
• 发表日期: 2013
• 页码: 1865-1891
• 关键词: DIFFUSION-COEFFICIENT

摘要

We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed Ito semimartingale on a fixed interval when the mesh of the observation grid shrinks to zero asymptotically. In a first step we estimate the volatility locally over blocks of shrinking length, and then in a second step we use these estimates to construct a sample analogue of the volatility occupation time and a kernel-based estimator of its density. We prove the consistency of our estimators and further derive bounds for their rates of convergence. We use these results to estimate nonparametrically the quantiles associated with the volatility occupation measure.