Nonparametric estimation of stochastic volatility models

DOI10.1016/j.econlet.2005.09.009zbMath1254.91758OpenAlexW2053717802MaRDI QIDQ1929062

Roberto Renò

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.09.009

zbMATH Keywords

stochastic volatilitynonparametric estimationrealized volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05)

Related Items (13)

Adaptive estimation of the dynamics of a discrete time stochastic volatility model ⋮ NONPARAMETRIC STOCHASTIC VOLATILITY ⋮ Estimation of integrated volatility of volatility with applications to goodness-of-fit testing ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Nonparametric estimation for stochastic volatility models ⋮ Asymptotic inference about predictive accuracy using high frequency data ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence ⋮ NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH ⋮ Forecasting volatility with support vector machine-based GARCH model ⋮ NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS ⋮ ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS

Cites Work

• Closing the GARCH gap: Continuous time GARCH modeling
• ARCH modeling in finance. A review of the theory and empirical evidence
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• The dynamics of stochastic volatility: evidence from underlying and options markets
• On estimating the diffusion coefficient from discrete observations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Modeling and Forecasting Realized Volatility

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