核权平滑波动率估计的几乎处处收敛性  

Strong Consistency of Kernel Weighted Smoothed Volatility Estimation

作　　者：许学艳 XU Xueyan(School of Mathematics and Statistics,Guangxi Normal University,Guilin 541004,China)

机构地区：[1]广西师范大学数学与统计学院,广西桂林541004

出　　处：《广西民族大学学报（自然科学版）》2022年第4期87-90,共4页Journal of Guangxi Minzu University ：Natural Science Edition

摘　　要：研究了对跳跃-扩散模型,利用二次幂变差构建核权平滑波动率的估计问题,并证明了波动率的强相合性,其证明方法的核心是矩不等式。The estimation problem of using the quadratic power variation to construct the kernel-weighted smoothed volatility under the jump-diffusion model is studied,and the strong consistency of volatility is proved.The core of the proof method is the moment inequality.

关 键 词：二次幂变差 波动率 强相合性 矩不等式 

分 类 号：O212.7[理学—概率论与数理统计]