Estimation of the instantaneous volatility
نویسندگان
چکیده
منابع مشابه
Estimation of the instantaneous volatility and detection of volatility jumps
Concerning price processes, the fact that the volatility is not constant has been observed for a long time. So we deal with models as dXt = μtdt + σtdWt where σ is a stochastic process. Recent works on volatility modeling suggest that we should incorporate jumps in the volatility process. Empirical observations suggest that simultaneous jumps on the price and the volatility [8, 9] exist. The hy...
متن کاملhigh volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company
در این بررسی ابتدا به بررسی ماهیت توزیع خسارات پرداخته میشود و از روش نظریه مقادیر نهایی برای بدست آوردن برآورد ارزش در معرض خطر برای خسارات روزانه بیمه مسئولیت شرکت بیمه ایران استفاده میشود. سپس کارایی نظریه مقدار نهایی در برآورد ارزش در معرض خطر با کارایی سایر روشهای واریانس ، کواریانس و روش شبیه سازی تاریخی مورد مقایسه قرار میگیرد. نتایج این بررسی نشان میدهند که توزیع ،garch شناخته شده مدل...
15 صفحه اولNon-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated estimators and use simulations to show th...
متن کاملKernel estimation of the instantaneous frequency
We consider kernel estimators of the instantaneous frequency of a slowly evolving sinusoid in white noise. The expected estimation error consists of two terms. The systematic bias error grows as the kernel halfwidth increases while the random error decreases. For a nonmodulated signal, g(t), the kernel halfwidth which minimizes the expected error scales as h ∼ [ σ2 N |∂2 t g |2 ]1/5 , where σ2 ...
متن کاملInstantaneous frequency estimation using the reassignment method
This paper explores the method of reassignment for extracting instantaneous frequency attributes from seismic data. The reassignment method was rst applied to the spectrogram by Kodera, Gendrin and de Villedary [5] and later generalized to any bilinear time-frequency or time-scale representation by Auger and Flandrin [1]. Key to the method is a nonlinear convolution where the value of the convo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2011
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-011-9062-2