• Corpus ID: 88511823

Spectral covolatility estimation from noisy observations using local weights

  title={Spectral covolatility estimation from noisy observations using local weights},
  author={Markus Bibinger and Markus Rei{\ss}},
  journal={arXiv: Statistics Theory},
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an asymptotic equivalence of the underlying statistical model to a white noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the… 

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