Nonparametric estimation of volatility and its parametric analogs

DOI10.1134/S0005117918090126zbMath1405.62138OpenAlexW2891919953WikidataQ129226002 ScholiaQ129226002MaRDI QIDQ1992278

A. V. Dobrovidov, V. E. Tevosian

Publication date: 5 November 2018

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117918090126

zbMATH Keywords

stochastic volatilityKalman filterTaylor modelGARCHnonparametric estimation of signals

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Nonparametric methods of nonlinear filtering of stationary random sequences
• Smoothed cross-validation
• Generalized autoregressive conditional heteroscedasticity
• Bandwidth selection in nonparametric estimator of density derivative by smoothed cross-validation method
• On the dynamical equations of conditional probability density functions, with applications to optimal stochastic control theory
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
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