• Media type: Doctoral Thesis; E-Book; Electronic Thesis
  • Title: Simultaneous Confidence Statements about the Diffusion Coefficient of an Ito-Process with Application to Spot Volatility Estimation
  • Contributor: Sabel, Till [Author]
  • imprint: Georg-August-Universität Göttingen: eDiss, 2014-07-28
  • Language: English
  • DOI: https://doi.org/10.53846/goediss-4610
  • Keywords: volatility estimation ; Mathematics (PPN61756535X) ; multiscale testing ; nonparametric statistics
  • Origination:
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  • Description: In this PhD thesis, we address the problem of giving simultaneous confidence statements about local features of the diffusion of an Itô process. To this end, we construct a multiscale test based on weighted quadratic variation and prove that the test statistic can be strongly approximated by a sequence of Gaussian martingales which are distribution-free. Further, we give optimality results and present different visualization methods. In the second part of the thesis, we extend the approach to data corrupted by additive noise to cover applications from high-frequency finance. Additionally, we show which difficulties arise from real data and apply our method exemplarily to prices of Euro-Bund-Futures (FGBL). As an outlook for future work, we present ideas of generalizing the method to inference on the local covariance and point out some interesting applications from finance.
  • Access State: Open Access
  • Rights information: Attribution - Non Commercial - No Derivs (CC BY-NC-ND)