Abelian theorem for stochastic volatility models and semiparametric estimation of the signal space.

zbMATH Open1318.62003MaRDI QIDQ2913109FDOQ2913109

Authors: Vladimir Panov 

Publication date: 26 September 2012

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Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Stochastic models in economics (91B70)

Cited In (2)

• Estimation of the activity of jumps in time-changed Lévy models
• Abelian theorems for stochastic volatility models with application to the estimation of jump activity

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