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Some New Estimators of Integrated Volatility

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DOI: 10.4236/ojs.2011.12008    4,302 Downloads   7,394 Views   Citations


We develop higher order accurate estimators of integrated volatility in a stochastic volatility models by using kernel smoothing method and using different weights to kernels. The weights have some relationship to moment problem. As the bandwidth of the kernel vanishes, an estimator of the instantaneous stochastic volatility is obtained. We also develop some new estimators based on smoothing splines.

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The authors declare no conflicts of interest.

Cite this paper

J. Bishwal, "Some New Estimators of Integrated Volatility," Open Journal of Statistics, Vol. 1 No. 2, 2011, pp. 74-80. doi: 10.4236/ojs.2011.12008.


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