NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
提出一种核加权的已实现积分波动率估计量，通过选择核函数和带宽可聚焦波动率过程的特定特征，特别是当带宽趋近于零时得到已实现瞬时波动率的估计量（称为滤波瞬时波动率），并证明了其一致性和渐近正态性，讨论了边界问题和带宽选择方法。
A kernel weighted version of the standard realized integrated volatility estimator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator of the realized spot volatility is obtained. We denote this the filtered spot volatility. We show consistency and asymptotic normality of the kernel smoothed realized volatility and the filtered spot volatility. We consider boundary issues and propose two methods to handle these. The choice of bandwidth is discussed and data-driven selection methods are proposed. A simulation study examines the finite sample properties of the estimators.