Jump-robust volatility estimation using dynamic dual-domain integration method

• Published in: Communications in statistics. Theory and methods Vol. 50; no. 5; pp. 1250 - 1273
• Main Authors: Ye, Xu-Guo, Zhao, Yan-Yong
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 04.03.2021; Taylor & Francis Ltd
• Subjects: Domains; dynamic integration; short interest rate; state domain; time domain; Volatility; Volatility estimation

In this paper, we propose a nonparametric procedure to estimate the volatility when the underlying price process is governed by Brownian semimartingale with jumps. The estimator combines the threshold technique and dynamic dual-domain integration approach for volatility when the price process is dri...