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Communications in Statistics - Theory and Methods Volume 52, 2023 - Issue 21
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Article

On the complete consistency of the kernel estimator of spot volatility

Guo-dong Xinga School of Mathematics and Statistics, Hefei Normal University, Hefei, ChinaView further author information
&
Shanchao Yangb School of Mathematics and Statistics, Guangxi Normal University, Guilin, ChinaCorrespondence[email protected]
View further author information
Pages 7576-7585 | Received 17 May 2021, Accepted 28 Feb 2022, Published online: 21 Mar 2022
 
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Abstract

Under some mild conditions, we study the complete consistency and the uniformly complete consistency of the NW type kernel estimator of spot volatility, respectively. In addition, the corresponding convergence rates are also given.

Mathematics Subject Classification:

Acknowledgments

The authors are grateful to the editor and referees for their valuable suggestions that improved the first manuscript.

Additional information

Funding

This research was supported by the Important Natural Science Foundation of Colleges and Universities of Anhui Province (No. KJ2020A0122), Jiangxi Provincial Natural Science Foundation (No. 20212ACB201006) and the Natural Science Foundation of China (No. 11461009).

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