Title: Asymptotic expansion in volatility parametric estimation revisited
Authors: Nakahiro Yoshida - University of Tokyo (Japan) [presenting]
Abstract: In the estimation of a volatility parameter from sampled data in a finite time horizon, the asymptotic expansion of the quasi-maximum likelihood estimator and the quasi-Bayesian estimator are revisited. This problem was approached by the author in the 2010s with the martingale expansion. The basic tools are the theory of asymptotic expansion for Skorokhod integrals, the quasi-likelihood analysis, and the order estimate of a polynomial of multiple Wiener integrals.