Nonparametric volatility density estimation

DOI10.3150/BJ/1065444813zbMath1044.62037arXivmath/0107135OpenAlexW2149865577MaRDI QIDQ1433460

Peter Spreij, Harry van Zanten, A. J. van Es

Publication date: 18 June 2004

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0107135

zbMATH Keywords

kernel estimatorsmixingdeconvolutionstochastic volatility models

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (15)

The effects of error magnitude and bandwidth selection for deconvolution with unknown error distribution ⋮ Laguerre and Hermite bases for inverse problems ⋮ Nonparametric density estimation from observations with multiplicative measurement errors ⋮ On the data-driven COS method ⋮ A note on wavelet density deconvolution for weakly dependent data ⋮ Density deconvolution with associated stationary data. ⋮ Estimation of a multivariate stochastic volatility density by kernel deconvolution ⋮ Statistical inference for scale mixture models via Mellin transform approach ⋮ A ridge-parameter approach to deconvolution ⋮ Statistical Skorohod embedding problem: optimality and asymptotic normality ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Estimation of distributions, moments and quantiles in deconvolution problems ⋮ Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions ⋮ NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ Adaptive density deconvolution with dependent inputs

This page was built for publication: Nonparametric volatility density estimation