ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION
We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale wi...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Li, Jia [verfasserIn] |
|---|
| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2016 |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: Econometric theory - Cambridge : Cambridge Univ. Press, 1985, 32(2016), 5, Seite 1253-1288 |
|---|---|
| Übergeordnetes Werk: |
volume:32 ; year:2016 ; number:5 ; pages:1253-1288 |
| Links: |
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| DOI / URN: |
10.1017/S0266466615000171 |
|---|
| Katalog-ID: |
OLC1982728906 |
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| 520 | |a We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. | ||
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| 700 | 1 | |a Tauchen, George |4 oth | |
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10.1017/S0266466615000171 doi PQ20161012 (DE-627)OLC1982728906 (DE-599)GBVOLC1982728906 (PRQ)c942-ca698b03784cb961304fe8844d8ee0b1b184d744da68d26970468d855fb0ee060 (KEY)0139845820160000032000501253estimatingthevolatilityoccupationtimeviaregularize DE-627 ger DE-627 rakwb eng 330 DE-600 Li, Jia verfasserin aut ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. Studies Econometrics Estimating techniques Volatility Laplace transforms Todorov, Viktor oth Tauchen, George oth Enthalten in Econometric theory Cambridge : Cambridge Univ. Press, 1985 32(2016), 5, Seite 1253-1288 (DE-627)130684880 (DE-600)901661-2 (DE-576)016233972 0266-4666 nnns volume:32 year:2016 number:5 pages:1253-1288 http://dx.doi.org/10.1017/S0266466615000171 Volltext http://search.proquest.com/docview/1819083019 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4311 GBV_ILN_4318 AR 32 2016 5 1253-1288 |
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10.1017/S0266466615000171 doi PQ20161012 (DE-627)OLC1982728906 (DE-599)GBVOLC1982728906 (PRQ)c942-ca698b03784cb961304fe8844d8ee0b1b184d744da68d26970468d855fb0ee060 (KEY)0139845820160000032000501253estimatingthevolatilityoccupationtimeviaregularize DE-627 ger DE-627 rakwb eng 330 DE-600 Li, Jia verfasserin aut ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. Studies Econometrics Estimating techniques Volatility Laplace transforms Todorov, Viktor oth Tauchen, George oth Enthalten in Econometric theory Cambridge : Cambridge Univ. Press, 1985 32(2016), 5, Seite 1253-1288 (DE-627)130684880 (DE-600)901661-2 (DE-576)016233972 0266-4666 nnns volume:32 year:2016 number:5 pages:1253-1288 http://dx.doi.org/10.1017/S0266466615000171 Volltext http://search.proquest.com/docview/1819083019 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4311 GBV_ILN_4318 AR 32 2016 5 1253-1288 |
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10.1017/S0266466615000171 doi PQ20161012 (DE-627)OLC1982728906 (DE-599)GBVOLC1982728906 (PRQ)c942-ca698b03784cb961304fe8844d8ee0b1b184d744da68d26970468d855fb0ee060 (KEY)0139845820160000032000501253estimatingthevolatilityoccupationtimeviaregularize DE-627 ger DE-627 rakwb eng 330 DE-600 Li, Jia verfasserin aut ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. Studies Econometrics Estimating techniques Volatility Laplace transforms Todorov, Viktor oth Tauchen, George oth Enthalten in Econometric theory Cambridge : Cambridge Univ. Press, 1985 32(2016), 5, Seite 1253-1288 (DE-627)130684880 (DE-600)901661-2 (DE-576)016233972 0266-4666 nnns volume:32 year:2016 number:5 pages:1253-1288 http://dx.doi.org/10.1017/S0266466615000171 Volltext http://search.proquest.com/docview/1819083019 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4311 GBV_ILN_4318 AR 32 2016 5 1253-1288 |
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10.1017/S0266466615000171 doi PQ20161012 (DE-627)OLC1982728906 (DE-599)GBVOLC1982728906 (PRQ)c942-ca698b03784cb961304fe8844d8ee0b1b184d744da68d26970468d855fb0ee060 (KEY)0139845820160000032000501253estimatingthevolatilityoccupationtimeviaregularize DE-627 ger DE-627 rakwb eng 330 DE-600 Li, Jia verfasserin aut ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. Studies Econometrics Estimating techniques Volatility Laplace transforms Todorov, Viktor oth Tauchen, George oth Enthalten in Econometric theory Cambridge : Cambridge Univ. Press, 1985 32(2016), 5, Seite 1253-1288 (DE-627)130684880 (DE-600)901661-2 (DE-576)016233972 0266-4666 nnns volume:32 year:2016 number:5 pages:1253-1288 http://dx.doi.org/10.1017/S0266466615000171 Volltext http://search.proquest.com/docview/1819083019 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4311 GBV_ILN_4318 AR 32 2016 5 1253-1288 |
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10.1017/S0266466615000171 doi PQ20161012 (DE-627)OLC1982728906 (DE-599)GBVOLC1982728906 (PRQ)c942-ca698b03784cb961304fe8844d8ee0b1b184d744da68d26970468d855fb0ee060 (KEY)0139845820160000032000501253estimatingthevolatilityoccupationtimeviaregularize DE-627 ger DE-627 rakwb eng 330 DE-600 Li, Jia verfasserin aut ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 2016 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. Studies Econometrics Estimating techniques Volatility Laplace transforms Todorov, Viktor oth Tauchen, George oth Enthalten in Econometric theory Cambridge : Cambridge Univ. Press, 1985 32(2016), 5, Seite 1253-1288 (DE-627)130684880 (DE-600)901661-2 (DE-576)016233972 0266-4666 nnns volume:32 year:2016 number:5 pages:1253-1288 http://dx.doi.org/10.1017/S0266466615000171 Volltext http://search.proquest.com/docview/1819083019 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OPC-MAT GBV_ILN_26 GBV_ILN_70 GBV_ILN_4012 GBV_ILN_4028 GBV_ILN_4311 GBV_ILN_4318 AR 32 2016 5 1253-1288 |
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ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION |
| abstract |
We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. |
| abstractGer |
We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. |
| abstract_unstemmed |
We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time Itô semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility. |
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| container_issue |
5 |
| title_short |
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION |
| url |
http://dx.doi.org/10.1017/S0266466615000171 http://search.proquest.com/docview/1819083019 |
| remote_bool |
false |
| author2 |
Todorov, Viktor Tauchen, George |
| author2Str |
Todorov, Viktor Tauchen, George |
| ppnlink |
130684880 |
| mediatype_str_mv |
n |
| isOA_txt |
false |
| hochschulschrift_bool |
false |
| author2_role |
oth oth |
| doi_str |
10.1017/S0266466615000171 |
| up_date |
2024-07-03T18:25:45.455Z |
| _version_ |
1803583378378719233 |
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7.401636 |