【摘要】 资产价格的波动性是学者们十分关注的重要研究课题.近年来,学者们提出了许多波动率的估计方法,并研究了估计量的相合性和渐近正态性.本文重点研究了Kristensen[26]提出的NW型瞬时波动率核估计,指出其证明过程中存在的一些错误,并在合理的条件下进一步推导了估计量的强相合性和一致强相合性.更多还原

【Abstract】 The volatility of asset prices is an important research topic that scholars pay close attention to. In recent years, scholars have proposed many estimation methods for volatility, and studied the consistency and asymptotic normality of the estimators. In this paper, we focuses on the NW type kernel estimator of spot volatility proposed by Kristensen[26], points out that there are some errors in the relevant proof process, and derives further the strong consistency and uniform strong consistency of the estimator under some reasonable conditions.更多还原