Volatility estimation from a view point of entropy
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866914980885954560 |
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| author | Akahori, Jirô Namba, Ryuya Watanabe, Atsuhito |
| author_facet | Akahori, Jirô Namba, Ryuya Watanabe, Atsuhito |
| contents | In the present paper, we first revisit the volatility estimation approach proposed by N. Kunitomo and S. Sato, and second, we show that the volatility estimator proposed by P. Malliavin and M.E. Mancino can be understood in a unified way by the approach. Third, we introduce an alternative estimator that might overcome the inconsistency caused by the microstructure noise of the initial observation. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2410_15307 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Volatility estimation from a view point of entropy Akahori, Jirô Namba, Ryuya Watanabe, Atsuhito Statistics Theory Primary 62G05, Secondary 62G20 In the present paper, we first revisit the volatility estimation approach proposed by N. Kunitomo and S. Sato, and second, we show that the volatility estimator proposed by P. Malliavin and M.E. Mancino can be understood in a unified way by the approach. Third, we introduce an alternative estimator that might overcome the inconsistency caused by the microstructure noise of the initial observation. |
| title | Volatility estimation from a view point of entropy |
| topic | Statistics Theory Primary 62G05, Secondary 62G20 |
| url | https://arxiv.org/abs/2410.15307 |