Nonparametric Methods for Volatility Density Estimation

DOI10.1007/978-3-642-18412-3_11zbMath1230.91199arXiv0910.5185OpenAlexW1480126785MaRDI QIDQ5198564

Peter Spreij, Harry van Zanten, A. J. van Es

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.5185

zbMATH Keywords

waveletsmixingdeconvolutiondensity estimationkernel estimatorstochastic volatility modelsminimum contrast estimatio

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)

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