Uniform convergence rates for spot volatility estimation

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2023-01-01 DOI:10.3934/puqr.2023014

Chen Li, Pengtao Li, Yilun Zhang

引用次数: 0

Abstract

This study presents the uniform convergence rate for spot volatility estimators based on delta sequences. Kernel and Fourier-based estimators are examples of this type of estimator. We also present the uniform convergence rates for kernel and Fourier-based estimators of spot volatility as applications of the main result.

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现货波动率估计的统一收敛率

研究了基于delta序列的现货波动估计的一致收敛速率。核估计和基于傅里叶的估计就是这类估计的例子。作为主要结果的应用，我们还给出了基于核估计和傅立叶估计的一致收敛速率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.