On the estimation of non linear functions in stochastic volatility models

DOI10.1080/03610926.2019.1635700MaRDI QIDQ5079046zbMATH OpenOpenAlexWikidataFDO

Authors Giuseppina Albano, Francesco Giordano, Cira Perna

Publication date 25 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1635700

zbMATH Keywords

bootstrapergodicitysmooth function of the sample meanvolatility

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A general resampling scheme for triangular arrays of -mixing random variables with application to the problem of spectral density estimation
• An introduction to continuous-time stochastic processes. Theory, models, and applications to finance, biology, and medicine.
• Approximation Theorems of Mathematical Statistics
• ARCH models as diffusion approximations
• Automatic Block-Length Selection for the Dependent Bootstrap
• Block length selection in the bootstrap for time series
• Bootstrap methods: another look at the jackknife
• Parameter estimation for discretely observed stochastic volatility models
• Resampling methods for dependent data
• Stochastic volatility models as hidden Markov models and statistical applications
• Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
• The jackknife and the bootstrap for general stationary observations

Cited in

(4)

• A central limit theorem for the functional estimation of the spot volatility
• Revisiting linear and lognormal stochastic volatility models
• Linear‐representation Based Estimation of Stochastic Volatility Models
• Nonparametric estimation for stochastic volatility models

This page was built for publication: On the estimation of non linear functions in stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5079046)