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Title: Global estimation of realized spot volatility inthe presence of price jumps Authors:  Matthias Fengler - University of Sankt Gallen (Switzerland) [presenting]
Wale Dare - University of Sankt Gallen (Switzerland)
Abstract: A non-parametric procedure is proposed for estimating the realized spot volatility of a price process described by an Ito semimartingale with Levy jumps. The procedure integrates threshold jump elimination techniques with a Gabor frame expansion of the realized trajectory of spot volatility. We show that the procedure converges in probability in $L_2([0,T])$ for a wide class of spot volatility processes, including those with discontinuous paths. The analysis assumes that the time interval between price observations tends to zero. The intended application is spot volatility estimation from high frequency financial data.