OJS  Vol.1 No.2 , July 2011
Some New Estimators of Integrated Volatility
ABSTRACT
We develop higher order accurate estimators of integrated volatility in a stochastic volatility models by using kernel smoothing method and using different weights to kernels. The weights have some relationship to moment problem. As the bandwidth of the kernel vanishes, an estimator of the instantaneous stochastic volatility is obtained. We also develop some new estimators based on smoothing splines.

Cite this paper
nullJ. Bishwal, "Some New Estimators of Integrated Volatility," Open Journal of Statistics, Vol. 1 No. 2, 2011, pp. 74-80. doi: 10.4236/ojs.2011.12008.
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