论文标题
偏置最佳频率估计：窗口重叠的作用
Bias optimal vol-of-vol estimation: the role of window overlapping
论文作者
论文摘要
我们得出了一个可行的标准，用于通过Barndorff-Nielsen和Veraart（2009）通过简单实现的估算器（2009）通过简单实现的估计器估算点挥发性的调谐参数的偏置选择。假设点波动率是一个连续的均值转移过程，并且可以在有限的样本设置中重叠，则获得了我们的分析结果。此外，基于数值证据，我们的分析结果支持文献中规定的调谐参数的一些最佳选择。有趣的是，窗户重叠对于优化挥发性估计的有限样本偏差至关重要。
We derive a feasible criterion for the bias-optimal selection of the tuning parameters involved in estimating the integrated volatility of the spot volatility via the simple realized estimator by Barndorff-Nielsen and Veraart (2009). Our analytic results are obtained assuming that the spot volatility is a continuous mean-reverting process and that consecutive local windows for estimating the spot volatility are allowed to overlap in a finite sample setting. Moreover, our analytic results support some optimal selections of tuning parameters prescribed in the literature, based on numerical evidence. Interestingly, it emerges that window-overlapping is crucial for optimizing the finite-sample bias of volatility-of-volatility estimates.
