Parameter estimation in stochastic volatility models

DOI10.1007/978-3-031-03861-7MaRDI QIDQ5077755zbMATH OpenOpenAlexFDO

Authors Jaya P. N. Bishwal

Publication date 19 May 2022

Full work available at URL https://doi.org/10.1007/978-3-031-03861-7

zbMATH Keywords

approximate maximum likelihood methodasymptotic theoryBerry-Esseen boundsdiscrete observationsfractional Brownian motionfractional Lévy poseshigh-frequency dataItô stochastic differential equationjumpslong memoryminimum contrast methodparameter estimationpartially observed modelsstochastic volatility model

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(20)

• Estimation and prediction under local volatility jump-diffusion model
• Estimating dynamic equilibrium models with stochastic volatility
• Efficient estimation of drift parameters in stochastic volatility models
• Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
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• Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
• Probabilistic Properties of Stochastic Volatility Models
• A Note on Efficient Fitting of Stochastic Volatility Models
• Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods
• scientific article; zbMATH DE number 5209814 (Why is no real title available?)
• Linear‐representation Based Estimation of Stochastic Volatility Models
• Le Cam-Stratonovich-Boole theory for Itô diffusions
• Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
• Nonlinear least squares estimator for generalized diffusion processes with reflecting barriers
• Berry-Esseen bound and Cramér-type moderate deviations of the maximum likelihood estimator in Rayleigh diffusion process
• A semiparametric stochastic volatility model

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