中山大学学报（自然科学版）2013，Vol.52Issue(1)：55-58,4.
一种带有自权重的积分波动率的非参估计
A Nonparametric Estimate of Integrated Cross-Volatility
摘要
Abstract
A nonparametric estimator is proposed for the class of integrated cross volatilities of the form 1∫0 f(xt)σ2tdt, where f is a continuous function, σ2s 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.关键词
自权重/积分波动率/非参估计/渐近正态分布Key words
cross/ integrated volatility/ nonparametric estimate/ asymptotic normality分类
数理科学引用本文复制引用
李翠霞,郭二林,包美娟..一种带有自权重的积分波动率的非参估计[J].中山大学学报（自然科学版）,2013,52(1):55-58,4.基金项目
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) （lzujbky-2012-179:lzujbky-2012-180）
