Inference on volatility curve at high frequencies via functional data analysis
Inference on volatility curve at high frequencies via functional data analysis
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DOI：
10.1080/03610926.2020.1864829
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发表时间：
2020-12
期刊：
影响因子：
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通讯作者：
Fan Wu;Guanrong Wang;Xinbing Kong
中科院分区：
文献类型：
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作者：
Fan Wu;Guanrong Wang;Xinbing Kong
摘要本文将日波动率曲线作为函数数据的一种实现进行建模。我们实现样条技术估计的均值和协方差函数。建立了估计的均值和协方差函数的一致收敛性。模拟和真实的数据研究证明，我们的估计的均值和协方差函数是准确的。
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.