NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS

DOI10.1017/S026646660808047XzbMath1284.62232OpenAlexW2130075815MaRDI QIDQ3632415

Roberto Renò

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660808047x

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic models in economics (91B70)

Related Items (18)

Prediction-based estimation for diffusion models with high-frequency data ⋮ NONPARAMETRIC STOCHASTIC VOLATILITY ⋮ Jump-robust volatility estimation using dynamic dual-domain integration method ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? ⋮ A two-step estimation of diffusion processes using noisy observations ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Regularised forecasting via smooth-rough partitioning of the regression coefficients ⋮ Edgeworth corrections for spot volatility estimator ⋮ Nonparametric estimation of jump diffusion models ⋮ Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models ⋮ Threshold estimation of Markov models with jumps and interest rate modeling ⋮ Functional data analysis for volatility ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ Spot volatility estimation using delta sequences ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ An application of nonparametric volatility estimators to option pricing ⋮ Nonparametric Estimation of Volatility Function with Variable Bandwidth Parameter

Uses Software

• KernSmooth

Cites Work

• Unnamed Item
• Consistent ranking of volatility models
• \(L_p\) estimation of the diffusion coefficient
• Fourier series method for measurement of multivariate volatilities
• Nonparametric estimation of stochastic volatility models
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• On estimating the diffusion coefficient from discrete observations
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Nonparametric Pricing of Interest Rate Derivative Securities
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• An equilibrium characterization of the term structure
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Modeling and Forecasting Realized Volatility
• On measuring volatility of diffusion processes with high frequency data

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