Nonparametric volatility density estimation

DOI10.3150/BJ/1065444813MaRDI QIDQ1433460zbMATH OpenOpenAlexFDO

Authors Peter Spreij, Bert van Es, Harry van Zanten

Publication date 18 June 2004

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0107135

zbMATH Keywords

deconvolutionmixingkernel estimatorsstochastic volatility models

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a log price process is modeled as the product of a volatility process and i.i.d. noise. We also consider samples of certain continuous time diffusion processes. The sampled time instants will be be equidistant with vanishing distance. A Fourier type deconvolution kernel density estimator based on the logarithm of the squared processes is proposed to estimate the volatility density. Expansions of the bias and bounds on the variances are derived.

Recommendations

• Nonparametric methods for volatility density estimation
• Nonparametric volatility density estimation for discrete time models
• scientific article; zbMATH DE number 1069630
• Nonparametric modelling and estimation of stochastic volatility
• Estimation of a multivariate stochastic volatility density by kernel deconvolution

Cited in

(25)

• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
• On a real-time scheme for the estimation of volatility
• Nonparametric implied Lévy densities
• Density deconvolution with associated stationary data.
• Statistical Skorohod embedding problem: optimality and asymptotic normality
• Nonparametric methods for volatility density estimation
• The effects of error magnitude and bandwidth selection for deconvolution with unknown error distribution
• One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
• scientific article; zbMATH DE number 5688778 (Why is no real title available?)
• Penalized Projection Estimator for Volatility Density
• On the data-driven COS method
• A note on wavelet density deconvolution for weakly dependent data
• A ridge-parameter approach to deconvolution
• Statistical inference for scale mixture models via Mellin transform approach
• Adaptive density deconvolution with dependent inputs
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Nonparametric volatility density estimation for discrete time models
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• Non-parametric volatility estimation in continuous time
• Estimation of the instantaneous volatility
• Nonparametric density estimation from observations with multiplicative measurement errors
• Laguerre and Hermite bases for inverse problems
• Estimation of distributions, moments and quantiles in deconvolution problems

This page was built for publication: Nonparametric volatility density estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1433460)