Inference on volatility curve at high frequencies via functional data analysis

Fan Wu, Guan-jun Wang and Xin-bing Kong

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 19, 6683-6700

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.

Date: 2022
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DOI: 10.1080/03610926.2020.1864829

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