NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602)

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scientific article; zbMATH DE number 6975568

Language	Label	Description	Also known as
English	NONPARAMETRIC STOCHASTIC VOLATILITY	scientific article; zbMATH DE number 6975568

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scholarly article

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NONPARAMETRIC STOCHASTIC VOLATILITY (English)

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zbMATH Open document ID

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10.1017/S0266466617000457

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Federico M. Bandi

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Econometric Theory

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publication date

9 November 2018

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

nonparametric method

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stochastic volatility modeling

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bivariate process

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MaRDI profile type

MaRDI publication profile

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Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

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ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES

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On the functional estimation of jump-diffusion models.

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Time-varying leverage effects

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Post-'87 crash fears in the S\&P 500 futures option market

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Handbook of Volatility Models and Their Applications

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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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Extremal behavior of diffusion models in finance

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Nonparametric statistics for stochastic processes. Estimation and prediction.

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On smoothed probability density estimation for stationary processes

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Nonparametric estimation for stochastic volatility models

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Adaptive estimation of the dynamics of a discrete time stochastic volatility model

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Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures

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Threshold bipower variation and the impact of jumps on volatility forecasting

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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On Bernstein-type inequalities for martingales.

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Spot volatility estimation for high-frequency data

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A Reexamination of Diffusion Estimators With Applications to Financial Model Validation

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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.

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Limit theorems for null recurrent Markov processes

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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING

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NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

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On Nummelin splitting for continuous time Harris recurrent Markov processes and application to kernel estimation for multi-dimensional diffusions

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Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

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Stability of Markovian processes II: continuous-time processes and sampled chains

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Inference for volatility-type objects and implications for hedging

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General Irreducible Markov Chains and Non-Negative Operators

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Nonparametric estimation of stochastic volatility models

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NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS

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Estimation of continuous-time stochastic volatility models with jumps using high-frequency data

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On Castellana-Leadbetter's condition for diffusion density estimation

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Maximal inequalities for CIR processes

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\(L^p\)-estimates on diffusion processes

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On leverage in a stochastic volatility model

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full work available at URL

https://doi.org/10.1017/s0266466617000457

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