Alvarez, A.; Panloup, F.; Pontier, M.; Savy, N. - arXiv.org - 2008
This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following … spirit of a series of recent works on the estimation of the cumulated volatility, we here focus on the instantaneous … volatility for which we study estimators built as finite differences of the \textit{power variations} of the log-price. We …