Nonparametric estimation of stochastic volatility models
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Publication:1929062
DOI10.1016/J.ECONLET.2005.09.009zbMATH Open1254.91758OpenAlexW2053717802MaRDI QIDQ1929062FDOQ1929062
Authors: Roberto Renò 
Publication date: 7 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2005.09.009
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Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ARCH modeling in finance. A review of the theory and empirical evidence
- Closing the GARCH gap: Continuous time GARCH modeling
- Modeling and Forecasting Realized Volatility
- The dynamics of stochastic volatility: evidence from underlying and options markets
- On estimating the diffusion coefficient from discrete observations
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Estimating continuous-time stochastic volatility models of the short-term interest rate
Cited In (42)
- Nonparametric range-based double smoothing spot volatility estimation for diffusion models
- Nonparametric modelling and estimation of stochastic volatility
- Nonparametric estimation of volatility and its parametric analogs
- A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- Title not available (Why is that?)
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Asymptotic inference about predictive accuracy using high frequency data
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- Nonparametric estimation for stochastic volatility models
- Nonparametric estimation for stochastic volatility models
- Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence
- Title not available (Why is that?)
- Adaptive estimation of the dynamics of a discrete time stochastic volatility model
- NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
- Nonparametric estimation of structural models for high-frequency currency market data
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Non-parametric estimation of historical volatility
- Title not available (Why is that?)
- Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths
- Hybrid multi-step estimation of the volatility for stochastic regression models
- A semiparametric stochastic volatility model
- A semiparametric model of estimating volatility of diffusion processes
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models
- Efficient estimation for the volatility of stochastic interest rate models
- Nonparametric specification tests for stochastic volatility models based on volatility density
- Title not available (Why is that?)
- NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS
- An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach
- Non-parametric volatility estimation in continuous time
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Forecasting volatility with support vector machine-based GARCH model
- Nonparametric Estimation Methods of Integrated Multivariate Volatilities
- Nonparametric volatility estimation in scalar diffusions: optimality across observation frequencies
- Parameter Estimation for Stock Models with Non-Constant Volatility Using Markov Chain Monte Carlo Methods
- Estimation of stochastic volatility models by nonparametric filtering
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