Simulated minimum Hellinger distance estimation of stochastic volatility models

DOI10.1016/j.csda.2008.06.017zbMath1453.62211OpenAlexW2007095160MaRDI QIDQ961438

Teruko Takada

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.06.017

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models ⋮ Profile Hellinger distance estimation ⋮ Robust small sample accurate inference in moment condition models ⋮ Minimum distance estimation in a finite mixture regression model ⋮ Efficient Hellinger distance estimates for semiparametric models ⋮ A hybrid data cloning maximum likelihood estimator for stochastic volatility models ⋮ One-step minimum Hellinger distance estimation ⋮ GMC/GEL estimation of stochastic volatility models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Semi-Nonparametric Maximum Likelihood Estimation
• Optimization by Simulated Annealing
• Asymptotic normality of the kernel estimate under dependence conditions: Application to hazard rate
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Minimum distance estimation of GARCH(1,1) models
• Bootstrap prediction intervals for autoregressive time series
• Minimum disparity computation via the iteratively reweighted least integrated squares algorithms
• A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models
• Minimum Hellinger distance estimation of parameter in the random censorship model
• Minimum Hellinger distance estimates for parametric models
• Minimum Hellinger distance estimation for Poisson mixtures.
• Asymptotic normality of nonparametric estimators under \(\alpha\)-mixing condition
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Efficiency versus robustness: The case for minimum Hellinger distance and related methods
• How easy is a given density to estimate?
• The ``automatic robustness of minimum distance functionals
• On bandwidth variation in kernel estimates. A square root law
• Scale space view of curve estimation.
• Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
• A Brief Survey of Bandwidth Selection for Density Estimation
• Nonlinear Regression with Dependent Observations
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Minimum Hellinger Distance Estimation for Finite Mixtures of Poisson Regression Models and Its Applications
• Robust Estimation of Mixture Complexity
• Asymptotic and qualitative performance of non-parametric density estimators: a comparative study
• Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
• Minimum Hellinger Distance Estimation for the Analysis of Count Data
• Transformations in Density Estimation
• Variable Kernel Estimates of Multivariate Densities
• Multivariate Stochastic Variance Models
• Minimum Hellinger Distance Estimation for Finite Mixture Models
• Simulated maximum likelihood estimation of multivariate mixed‐Poisson regression models, with application
• Handbook of Parallel Computing and Statistics
• Robust Statistics

This page was built for publication: Simulated minimum Hellinger distance estimation of stochastic volatility models