Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach

Dennis Kristensen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: A kernel weighted version of the standard realised integrated volatility es- timator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator of the realised spot volatility is obtained. We denote this the filtered spot volatility. We show con- sistency and asymptotic normality of the kernel smoothed realised volatility and the filtered spot volatility. The choice of bandwidth is discussed and data- driven selection methods proposed. A simulation study examines the finite sample properties of the estimators.

Keywords: Diffusion; in-fill asymptotics; kernel estimation; nonparametric; spot volatility; realised volatility (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Pages: 33
Date: 2007-05-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/07/rp07_02.pdf (application/pdf)

Related works:
Journal Article: NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2010)
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:aah:create:2007-02

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().