Limit theorems for discretely observed stochastic volatility models

DOI10.2307/3318718MaRDI QIDQ1275855zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(14)

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

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