On Double Smoothed Volatility Estimation of Potentially Nonstationary Jump-Diffusion Model
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In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and asymptotic normality for the estimator as the time span T →∞ and the sample interval Δ_n→ 0. The procedure and asymptotic behavior can be applied for both null Harris recurrent and positive Harris recurrent processes.
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