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Inference on volatility curve at high frequencies via functional data analysis
Communications in Statistics - Theory and Methods ( IF 0.8 ) Pub Date : 2020-12-28 , DOI: 10.1080/03610926.2020.1864829
Fan Wu 1 , Guan-jun Wang 1 , Xin-bing Kong 2
Affiliation  

Abstract

In this paper, we model the daily volatility curve as a realization of functional data. We implement the spline technique to estimate the mean and covariance functions. Uniform convergence of the estimated mean and covariance functions are established. Simulation and real data studies justify that our estimation of the mean and covariance functions is accurate.



中文翻译:

通过函数数据分析推断高频波动率曲线

摘要

在本文中,我们将每日波动率曲线建模为函数数据的实现。我们实施样条技术来估计均值和协方差函数。建立了估计的均值和协方差函数的均匀收敛。模拟和实际数据研究证明我们对均值和协方差函数的估计是准确的。

更新日期:2020-12-28
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