Nonparametric methods for volatility density estimation

DOI10.1007/978-3-642-18412-3_11MaRDI QIDQ5198564zbMATH OpenOpenAlexFDO

Authors Peter Spreij, Harry van Zanten, Bert 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

deconvolutiondensity estimationkernel estimatorminimum contrast estimatiomixingstochastic volatility modelswavelets

Mathematics Subject Classification ID

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

Abstract: Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the volatility process. Both models based on discretely sampled continuous time processes and discrete time models will be discussed. The key insight for the analysis is a transformation of the volatility density estimation problem to a deconvolution model for which standard methods exist. Three type of nonparametric density estimators are reviewed: the Fourier-type deconvolution kernel density estimator, a wavelet deconvolution density estimator and a penalized projection estimator. The performance of these estimators will be compared. Key words: stochastic volatility models, deconvolution, density estimation, kernel estimator, wavelets, minimum contrast estimation, mixing

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Cited in

(22)

• Bivariate nonparametric density estimation of stock prices and volume
• Nonparametric volatility density estimation
• Nonparametric estimation of volatility and its parametric analogs
• A selective overview of nonparametric methods in financial econometrics
• A Fourier transform method for nonparametric estimation of multivariate volatility
• The integration of dual-domain method for estimating the volatility of financial assets
• scientific article; zbMATH DE number 5944098 (Why is no real title available?)
• Nonparametric Estimation Methods of Integrated Multivariate Volatilities
• Asymptotic and qualitative performance of non-parametric density estimators: a comparative study
• scientific article; zbMATH DE number 5688778 (Why is no real title available?)
• Nonparametric modelling and estimation of stochastic volatility
• Non-parametric volatility estimation in continuous time
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Non-parametric estimation of historical volatility
• Nonparametric volatility density estimation for discrete time models
• Kernel deconvolution of stochastic volatility models
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Subsampling-extrapolation bandwidth selection in bivariate kernel density estimation
• Penalized Projection Estimator for Volatility Density
• Nonparametric estimation for stochastic volatility models
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• Nonparametric implied Lévy densities

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