| The Integration of Dual-Domain Method for Estimating the Volatility of Financial Assets |
| Received:April 15, 2008 Revised:January 01, 2009 |
| Key Words:
Volatility estimation integrated estimator.
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| Fund Project:Supported by the Hefei University of Technology's Excellent Courses - Probability Theory and Mathematical Statistics and ``Eleventh Five -Year" national scientific and technological support projects-GIS-based cluster of manufacturing industries to support R&D and modeling of technical service system - issue 5 - auto parts industry cluster system modeling (Grant No.2008BAF35B05). |
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| Abstract: |
| Time- and state-domain methods are two common approaches for nonparametrically estimating the volatility of financial assets. Economic conditions vary over time in real financial market. It is reasonable to expect that volatility depends on both time and price level for a given state variable. Recently, Fan, et al (2007) proposed the idea of dynamically integrated method in both time-and state domain. This idea has become an interesting topic in the estimation of volatility. In this paper, our purpose is to discuss the integrated method in the estimation of volatility. Simulations are conducted to demonstrate that the newly integrated method outperforms some old ones, and the results of simulations demonstrate this fact. Furthermore, we establish its asymptotic properties. |
| Citation: |
| DOI:10.3770/j.issn:1000-341X.2010.03.015 |
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