Nonparametric estimation for stochastic volatility models

DOI10.1007/s00780-009-0094-zzbMath1223.62017arXiv0712.3735OpenAlexW2593015068MaRDI QIDQ2430253

Valentine Genon-Catalot, Yves Rozenholc, Fabienne Comte

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3735

zbMATH Keywords

diffusion coefficientdriftmean square estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items

NONPARAMETRIC STOCHASTIC VOLATILITY, Estimation of the realized (co-)volatility vector: large deviations approach, Estimation of integrated volatility of volatility with applications to goodness-of-fit testing, Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications, Estimation of a multivariate stochastic volatility density by kernel deconvolution, Nonparametric specification tests for stochastic volatility models based on volatility density

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