NONPARAMETRIC STOCHASTIC VOLATILITY
From MaRDI portal
Publication:4554602
DOI10.1017/S0266466617000457zbMath1406.62109OpenAlexW3122709809MaRDI QIDQ4554602
Federico M. Bandi, Roberto Renò
Publication date: 9 November 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466617000457
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)
Related Items (7)
Computational analysis of the behavior of stochastic volatility models with financial applications ⋮ Bootstrapping Laplace transforms of volatility ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data ⋮ Spot volatility estimation using delta sequences ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ \(\beta\) in the tails
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On leverage in a stochastic volatility model
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Time-varying leverage effects
- Inference for volatility-type objects and implications for hedging
- Spot volatility estimation for high-frequency data
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 -- August 4, 2005, held in honor of Kiyosi Itô.
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions
- On smoothed probability density estimation for stationary processes
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- Extremal behavior of diffusion models in finance
- On the functional estimation of jump-diffusion models.
- On Castellana-Leadbetter's condition for diffusion density estimation
- \(L^p\)-estimates on diffusion processes
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Maximal inequalities for CIR processes
- On Bernstein-type inequalities for martingales.
- Nonparametric estimation of stochastic volatility models
- Post-'87 crash fears in the S\&P 500 futures option market
- Nonparametric estimation for stochastic volatility models
- Adaptive estimation of the dynamics of a discrete time stochastic volatility model
- ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
- Stability of Markovian processes II: continuous-time processes and sampled chains
- General Irreducible Markov Chains and Non-Negative Operators
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES
- Limit theorems for null recurrent Markov processes
- NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Handbook of Volatility Models and Their Applications
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
This page was built for publication: NONPARAMETRIC STOCHASTIC VOLATILITY
