| 对于金融资产波动率估计的双域组合方法 |
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| 引用本文： | 杜雪樵,叶绪国.对于金融资产波动率估计的双域组合方法[J].数学研究及应用,2010,30(3):507-518. |
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| 作者姓名： | 杜雪樵 叶绪国 |
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| 作者单位： | 合肥工业大学数学系, 安徽 合肥 230009;合肥工业大学数学系, 安徽 合肥 230009 |
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| 基金项目： | 合肥工业大学概率论与数理统计精品课程建设和"十一五"国家科技支撑计划项目－基于GIS的制造产业集群支撑技术服务%系统研发与示范－课题5－汽车零部件产业集群系统应用示范（2008BAF35B05）项目资助. |
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| 摘 要： | Time- and state-domain methods are two common approaches for nonparametrically estimating the volatility of financial assets. Economic conditions vary over time in real financial market. It is reasonable to expect that volatility depends on both time and price level for a given state variable. Recently, Fan, et al （2007） proposed the idea of dynamically integrated method in both time-and state domain. This idea has become an interesting topic in the estimation of volatility. In this paper, our purpose is to discuss the integrated method in the estimation of volatility. Simulations are conducted to demonstrate that the newly integrated method outperforms some old ones, and the results of simulations demonstrate this fact. Furthermore, we establish its asymptotic properties.
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| 关 键 词： | Volatility estimation integrated estimator. |
| 收稿时间： | 2008/4/15 0:00:00 |
| 修稿时间： | 1/1/2009 12:00:00 AM |
The Integration of Dual-Domain Method for Estimating the Volatility of Financial Assets |
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| Xue Qiao DU and Xu Guo YE.The Integration of Dual-Domain Method for Estimating the Volatility of Financial Assets[J].Journal of Mathematical Research with Applications,2010,30(3):507-518. |
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| Authors: | Xue Qiao DU and Xu Guo YE |
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| Institution: | Department of Mathematics, Hefei University of Technology, Anhui 230009, P. R. China |
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| Abstract: | Time- and state-domain methods are two common approaches for nonparametrically estimating the volatility of financial assets. Economic conditions vary over time in real financial market. It is reasonable to expect that volatility depends on both time and price level for a given state variable. Recently, Fan, et al (2007) proposed the idea of dynamically integrated method in both time-and state domain. This idea has become an interesting topic in the estimation of volatility. In this paper, our purpose is to discuss the integrated method in the estimation of volatility. Simulations are conducted to demonstrate that the newly integrated method outperforms some old ones, and the results of simulations demonstrate this fact. Furthermore, we establish its asymptotic properties. |
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| Keywords: | Volatility estimation integrated estimator |
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