Volatility estimation from a view point of entropy

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...

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Bibliographic Details
Published in:arXiv.org 2024-10
Main Authors: Akahori, Jirô, Namba, Ryuya, Watanabe, Atsuhito
Format: Article
Language:English
Subjects:
Volatility
Online Access:Get full text
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Summary: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.
ISSN:2331-8422