Kernel deconvolution of stochastic volatility models

DOI10.1111/J.1467-9892.2004.01825.XMaRDI QIDQ4677031zbMATH OpenOpenAlexFDO

Authors F. Comte

Publication date 20 May 2005

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.01825.x

zbMATH Keywords

asymptotic behaviordeconvolution kernel estimatorerrors-in-variables model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Critères d'ergodicité géométrique ou arithmétique de modèles linéaires pertubés à représentation markovienne
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Markov chains and stochastic stability
• Mixing: Properties and examples
• Qualitative threshold ARCH models
• The pricing of options and corporate liabilities

Cited in

(9)

• Semiparametric estimation of regression functions in autoregressive models
• Adaptive density deconvolution with dependent inputs
• The effects of error magnitude and bandwidth selection for deconvolution with unknown error distribution
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Penalized Projection Estimator for Volatility Density
• Shape-constrained semiparametric additive stochastic volatility models
• Estimation of a multivariate stochastic volatility density by kernel deconvolution

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