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| 含噪音高频数据动态整合估计波动率的方法 | |
| 引用本文： | 何成洁,杜雪樵,叶绪国.含噪音高频数据动态整合估计波动率的方法[J].大学数学,2011,27(4):108-112. |
| 作者姓名： | 何成洁 杜雪樵 叶绪国 |
| 作者单位： | 1. 安徽奇瑞汽车销售有限公司,芜湖,241009 2. 合肥工业大学数学学院,合肥,230009 3. 凯里学院理学院,贵州凯里,556011 |
| 摘 要： | 时间域和状态域方法是两种常见的非参数估计方法.前者主要使用的是最近的历史数据,而后者则主要依赖于过去的历史信息.本文在时间域上,通过对含噪音高频数据采用双时间尺度方法获得其波动率,进而获得经动态整合后的波动率. |
| 关 键 词： | 动态整合 时间域 状态域 双时间尺度 波动率 |
Dynamic Integration Methods for Volatility Estimation with Noisy High-Frequency Data |
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| HE Cheng-jie,DU Xue-qiao,YE Xu-guo.Dynamic Integration Methods for Volatility Estimation with Noisy High-Frequency Data[J].College Mathematics,2011,27(4):108-112. | |
| Authors: | HE Cheng-jie DU Xue-qiao YE Xu-guo |
| Institution: | HE Cheng-jie1,DU Xue-qiao2,YE Xu-guo3(1.Anhui Chery Automobile Sales Co.,Ltd.,Wuhu 241009,China,2.Department of Mathematics,Hefei University of Technology,Hefei 230009,3.School of Science and Physics,Kaili University,Kaili,Guizhou 556011,China) |
| Abstract: | Time-and state-domain methods are two common approa ches for nonparametric prediction.The former predominantly uses the data in the recent history while the latter mainly relies on historical information.The pa per adds the affect of noisy in time-domain,and obtains the volatility of nois y high frequency data by two time scales method,then get the dynamic integratio n volatility. |
| Keywords: | dynamic integration time-domain state-domain two time scales volatility |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |