Limit theorems for discretely observed stochastic volatility models

DOI10.2307/3318718zbMATH Open0916.60075OpenAlexW2007383562MaRDI QIDQ1275855FDOQ1275855

Authors: Thierry Jeantheau, V. Genon-Catalot, Catherine Larédo 

Publication date: 12 July 1999

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1174324982

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zbMATH Keywords

stochastic volatilitydiffusion processeslimit theoremsmathematical financeempirical distributionsdiscrete time observations

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Central limit and other weak theorems (60F05)

Cited In (14)

• A central limit theorem for the functional estimation of the spot volatility
• Stochastic volatility models as hidden Markov models and statistical applications
• Goodness-of-fit test for stochastic volatility models
• Abelian theorems for stochastic volatility models with application to the estimation of jump activity
• A note on the mean-variance criteria for discrete time financial markets
• Parametric estimation from approximate data: non-Gaussian diffusions
• The Bickel-Rosenblatt test for continuous time stochastic volatility models
• The continuous-time limit of score-driven volatility models
• Rate of convergence for parametric estimation in a stochastic volatility model.
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
• Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
• Smoothing and occupation measures of stochastic processes

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