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

deconvolutionkernel estimatorsmixingstochastic 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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• Limit theorems for discretely observed stochastic volatility models
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• Nonparametric density estimation from observations with multiplicative measurement errors
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• NONPARAMETRIC STOCHASTIC VOLATILITY
• On a real-time scheme for the estimation of volatility
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• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
• Statistical Skorohod embedding problem: optimality and asymptotic normality
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• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
• Penalized Projection Estimator for Volatility Density
• Density deconvolution with associated stationary data.
• Statistical inference for scale mixture models via Mellin transform approach
• A note on wavelet density deconvolution for weakly dependent data
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• Nonparametric implied Lévy densities
• Estimation of distributions, moments and quantiles in deconvolution problems

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