含噪音高频数据动态整合估计波动率的方法
함조음고빈수거동태정합고계파동솔적방법
Dynamic Integration Methods for Volatility Estimation with Noisy High-Frequency Data
  • 万方数据
    大学数学 대학수학
    COLLEGE MATHEMATICS
    2011年 4期 108-112 ,共5页

    何成洁%杜雪樵%叶绪国

    하성길%두설초%협서국

    动态整合%时间域%状态域%双时间尺度%波动率 動態整閤%時間域%狀態域%雙時間呎度%波動率
    동태정합%시간역%상태역%쌍시간척도%파동솔
    dynamic integration%time-domain%state-domain%two time scales%volatility
    时间域和状态域方法是两种常见的非参数估计方法.前者主要使用的是最近的历史数据,而后者则主要依赖于过去的历史信息.本文在时间域上,通过对含噪音高频数据采用双时间尺度方法获得其波动率,进而获得经动态整合后的波动率.
    시간역화상태역방법시량충상견적비삼수고계방법.전자주요사용적시최근적역사수거,이후자칙주요의뢰우과거적역사신식.본문재시간역상,통과대함조음고빈수거채용쌍시간척도방법획득기파동솔,진이획득경동태정합후적파동솔.
    Time-and state-domain methods are two common approa ches for nonparametric prediction.The former predominantly uses the data in the recent history while the latter mainly relies on historical information.The pa per adds the affect of noisy in time-domain,and obtains the volatility of nois y high frequency data by two time scales method,then get the dynamic integratio n volatility.
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