Quotation Frey, Rüdiger, Runggaldier, Wolfgang. 2001. A nonlinear filtering approach to volatility estimation with a view towards high frequency data. International Journal of Theoretical and Applied Finance, 4, 1-12.


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Abstract

In this paper we consider a nonlinear filtering approach to the estimation of asset price volatility. We are particularly interested in models which are suitable for high frequency data. In order to describe some of the typical features of high frequency data we consider marked point process models for the asset price dynamics. Both jump-intensity and jump-size distribution of this marked point process depend on a hidden state variable which is closely related to asset price volatility. In our setup volatility estimation can therefore be viewed as a nonlinear filtering problem with marked point process observations. We develop efficient recursive methods to compute approximations to the conditional distribution of this state variable using the so-called reference probability approach to nonlinear filtering.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Journal of Theoretical and Applied Finance
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-D, WH-B
Language English
Title A nonlinear filtering approach to volatility estimation with a view towards high frequency data
Volume 4
Year 2001
Page from 1
Page to 12
URL http://www.worldscinet.com/ijtaf/04/0402/S02190249010402.html
DOI http://dx.doi.org/10.1142/S021902490100095X
Open Access N

Associations

People
Frey, Rüdiger (Details)
External
Runggaldier, Wolfgang (Università degli Studi di Padova, Italy)
Organization
Institute for Statistics and Mathematics IN (Details)
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