A0469
Title: A note on uniform confidence bands for spot volatility
Authors: Yuta Koike - University of Tokyo (Japan) [presenting]
Abstract: Using the Gaussian approximation theory for maximum type statistics (the so-called CCK theory), uniform confidence bands are constructed for the spot volatility of a discretely observed Ito semi-martingale in a simplified setting. The recent developments in the CCK theory improve the accuracy of the existing result, so this point is particularly demonstrated. The practical implementation is also discussed.
