Time- and state-domain methods are two common approaches for nonparametrically estimating the volatility of financial assets.Economic conditions vary over time in real financial market.It is reasonable to expect that volatility depends on both time and price level for a given state variable.Recently,Fan,et al (2007) proposed the idea of dynamically integrated method in both time-and state domain.This idea has become an interesting topic in the estimation of volatility.In this paper,our purpose is to discuss the integrated method in the estimation of volatility.Simulations are conducted to demonstrate that the newly integrated method out-performs some old ones,and the results of simulations demonstrate this fact.Furthermore,we establish its asymptotic properties.
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