Estimation of integrated volatility in stochastic volatility models

DOI10.1002/ASMB.548MaRDI QIDQ5467272zbMATH OpenOpenAlexFDO

Authors Jeannette Woerner

Publication date 24 May 2006

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.548

zbMATH Keywords

fractional Brownian motionjump processlimit theorempower variationsemimartingalestochastic volatility

Mathematics Subject Classification ID

Recommendations

• Estimation of the instantaneous volatility
• Realized power variation and stochastic volatility models
• Power variation and stochastic volatility: a review and some new results
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing

Cited in

(31)

• Power variation for Gaussian processes with stationary increments
• Realized power variation and stochastic volatility models
• Volatility estimation of general Gaussian Ornstein-Uhlenbeck process
• Power variation of multiple fractional integrals
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Integration of CARMA processes and spot volatility modelling
• Approximation of normed power variation to integrated volatility
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• Sequential Monte Carlo methods for stochastic volatility models: a review
• Predictive Inference for Integrated Volatility
• Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
• scientific article; zbMATH DE number 5010687 (Why is no real title available?)
• A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
• Nonparametric Estimation Methods of Integrated Multivariate Volatilities
• Inference in Lévy-type stochastic volatility models
• Bipower Variation for Gaussian Processes with Stationary Increments
• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
• Estimation of the instantaneous volatility
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
• Power variation and stochastic volatility: a review and some new results
• Volatility estimation in fractional Ornstein-Uhlenbeck models
• On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous
• Nonparametric estimation for SDE with sparsely sampled paths: an FDA perspective
• Volatility estimation of Gaussian Ornstein-Uhlenbeck processes of the second kind
• On stochastic calculus related to financial assets without semimartingales
• Power variation for Itô integrals with respect to -stable processes
• Arc length asymptotics for multivariate time series
• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility
• Power variation of some integral fractional processes

This page was built for publication: Estimation of integrated volatility in stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5467272)