Uniform convergence rates for spot volatility estimation

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research 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.

查看原文本刊更多论文

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。

求助全文

约1分钟内获得全文求助全文

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.