Other Statistics and Probability Commons^™

Spot Volatility Estimation Of Ito Semimartingales Using Delta Sequences, Weixuan Gao

Arts & Sciences Electronic Theses and Dissertations

This thesis studies a unifying class of nonparametric spot volatility estimators proposed by Mancini et. al.(2013). This method is based on delta sequences and is conceived to include many of the existing estimators in the field as special cases. The thesis first surveys the asymptotic theory of the proposed estimators under an infill asymptotic scheme and fixed time horizon, when the state variable follows a Brownian semimartingale. Then, some extensions to include jumps and financial microstructure noise in the observed price process are also presented. The main goal of the thesis is to assess the suitability of the proposed methods …