Estimating Spot Volatility
Our goal in this chapter is to estimate the spot volatilities σ s (1) , σ s (2) at some specific time s ∈ [0; T]. In addition to that we would like to estimate the spot correlation ρs between the two Gaussian processes C(1) and C(2). If we allow σ to be discontinuous we are additionally interested in estimating the left limits σ s– (1) , σ s– (2) ,ρs–.
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