Oral Defense: Estimation of Integrated Volatility Functional & Behavior of the Bandwidth Selector with Kernel Spot volatility Estimators

Abstract: The study revisits the problem of estimating integrated volatility functionals. We consider an estimator using a general kernel spot volatility estimator as plug-in. A central limit theorem for estimating the integrated functional with a general kernel estimator is established with an optimal convergence rate. An unbiased central limit theorem for the estimator with a proper de-biasing term is also obtained. Besides, we provide several bandwidth selectors based on different types of estimation errors and show the asymptotic behavior of the estimation errors and bandwidth selectors.

Advisor: José E. Figueroa-López