Limit theorems for discretely observed stochastic volatility models

DOI10.2307/3318718zbMath0916.60075OpenAlexW2007383562MaRDI QIDQ1275855

Thierry Jeantheau, Catherine Larédo, Valentine Genon-Catalot

Publication date: 12 July 1999

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1174324982

zbMATH Keywords

stochastic volatilitydiffusion processeslimit theoremsmathematical financediscrete time observationsempirical distributions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (9)

Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models ⋮ Goodness-of-fit test for stochastic volatility models ⋮ Estimation of a multivariate stochastic volatility density by kernel deconvolution ⋮ Parametric estimation from approximate data: non-Gaussian diffusions ⋮ Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient ⋮ The Bickel-Rosenblatt test for continuous time stochastic volatility models ⋮ Smoothing and occupation measures of stochastic processes ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Rate of convergence for parametric estimation in a stochastic volatility model.

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