Volatility estimation from a view point of entropy
Statistics Theory
2024-10-22 v1 Statistics Theory
Abstract
In the present paper, we first revisit the volatility estimation approach proposed by N. Kunitomo and S. Sato, and second, we show that the volatility estimator proposed by P. Malliavin and M.E. Mancino can be understood in a unified way by the approach. Third, we introduce an alternative estimator that might overcome the inconsistency caused by the microstructure noise of the initial observation.
Cite
@article{arxiv.2410.15307,
title = {Volatility estimation from a view point of entropy},
author = {Jirô Akahori and Ryuya Namba and Atsuhito Watanabe},
journal= {arXiv preprint arXiv:2410.15307},
year = {2024}
}
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13 pages