An improved two-step regularization scheme for spot volatility estimation
S. Sanfelici and
S. Ogawa ()
No 2008-ME02, Economics Department Working Papers from Department of Economics, Parma University (Italy)
Abstract:
We are concerned with the problem of parameter estimation in Finance, namely the estimation of the spot volatility in the presence of the so-called microstructure noise. In [16] a scheme based on the technique of multi-step regularization was presented. It was shown that this scheme can work in a real-time manner. However, the main drawback of this scheme is that it needs a lot of observation data. The aim of the present paper is to introduce an improvement of the scheme such that the modified estimator can work more efficiently and with a data set of smaller size. The technical aspects of implementation of the scheme and its performance on simulated data are analyzed. The proposed scheme is tested against other estimators, namely a realized volatility type estimator, the Fourier estimator and two kernel estimators.
Keywords: Spot volatility; Nonparametric estimation; Multi-step regularization; Microstructure (search for similar items in EconPapers)
JEL-codes: C14 C22 G10 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2008
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
http://swrwebeco.econ.unipr.it/RePEc/pdf/IV_2008-02.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Status read failed: An existing connection was forcibly closed by the remote host.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:par:dipeco:2008-me02
Access Statistics for this paper
More papers in Economics Department Working Papers from Department of Economics, Parma University (Italy) Via J.F. Kennedy 6, 43100 PARMA (Italy). Contact information at EDIRC.
Bibliographic data for series maintained by Andrea Lasagni ().