摘要
为了对带有自权重的积分波动率∫10f(Xt)σ2tdt进行估计,定义了一个新的非参数估计量,并利用"已实现"波动率的方法,证明了该估计量是积分∫10f(Xt)σ2tdt的一致估计量,同时还得到此估计量的渐近正态分布以及学生化形式,从而可对该积分做区间估计或假设检验。
A nonparametric estimator is proposed for the class of integrated cross volatilities of the 1 form dt, where f is a continuous function, is the instantaneous cross volatility of continuous semimartingale X. Using ＂Realized Volatility＂, the asymptotic properties, which include consistency and asymptotic normality are obtained. A studentized version has been given and this can be used to construct confidence interval and do hypothesis testing.
出处
《中山大学学报（自然科学版）》
CAS
CSCD
北大核心
2013年第1期55-58,共4页
Acta Scientiarum Naturalium Universitatis Sunyatseni
基金
兰州大学中央高校基本科研业务费专项资金资助项目(lzujbky-2012-179
lzujbky-2012-180)
关键词
自权重
积分波动率
非参估计
渐近正态分布
cross
integrated volatility
nonparametric estimate
asymptotic normality
