focus on a nonparametric volatility measure that is void of any speci c functional form assumptions about the stochastic …

nonparametric volatility, using high-frequency time series data of the Chinese Shanghai Composite Stock Price Index. We perform … Detrended Fluctuation Analysis (DFA) on three different nonparametric volatility estimators with different sampling frequencies … impact on the long-term memory property. This suggests that the presence of long-term memory in nonparametric volatility can …