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.

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Cited in

(25)

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• One approach to the problem of nonparametric estimation in statistics of random processes based on the method of ill-posed problem
• NONPARAMETRIC STOCHASTIC VOLATILITY
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• Density deconvolution with associated stationary data.
• Laguerre and Hermite bases for inverse problems
• Adaptive density deconvolution with dependent inputs
• Estimation of the instantaneous volatility
• Estimation of distributions, moments and quantiles in deconvolution problems
• The effects of error magnitude and bandwidth selection for deconvolution with unknown error distribution
• Nonparametric methods for volatility density estimation
• Statistical inference for scale mixture models via Mellin transform approach
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions

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