Parameter Estimation in Stochastic Volatility Models

DOI10.1007/978-3-031-03861-7zbMath1493.62003OpenAlexW4290098667MaRDI QIDQ5077755

Jaya P. N. Bishwal

Publication date: 19 May 2022

Full work available at URL: https://doi.org/10.1007/978-3-031-03861-7

zbMATH Keywords

parameter estimationjumpsfractional Brownian motiondiscrete observationslong memoryhigh-frequency dataasymptotic theoryItô stochastic differential equationBerry-Esseen boundsstochastic volatility modelminimum contrast methodapproximate maximum likelihood methodfractional Lévy posespartially observed models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates ⋮ Le Cam-Stratonovich-Boole theory for Itô diffusions ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift

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