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Spot volatility estimation for high-frequency data

Jianqing Fan Yazhen Wang

Statistics Theory and Methods mathscidoc:1912.43323

Statistics and its Interface, 1, (2), 279-288, 2008
The availability of high-frequency intraday data allows us to accurately estimate stock volatility. This paper employs a bivariate diffusion to model the price and volatility of an asset and investigates kernel type estimators of spot volatility based on high-frequency return data. We establish both pointwise and global asymptotic distributions for the estimators.
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@inproceedings{jianqing2008spot,
  title={Spot volatility estimation for high-frequency data},
  author={Jianqing Fan, and Yazhen Wang},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221113716022488883},
  booktitle={Statistics and its Interface},
  volume={1},
  number={2},
  pages={279-288},
  year={2008},
}
Jianqing Fan, and Yazhen Wang. Spot volatility estimation for high-frequency data. 2008. Vol. 1. In Statistics and its Interface. pp.279-288. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221113716022488883.
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