Nonparametric volatility density estimation for discrete time models

DOI10.1080/1048525042000267752zbMath1055.62038arXivmath/0206142OpenAlexW2082330060MaRDI QIDQ4651100

Harry van Zanten, Peter Spreij, A. J. van Es

Publication date: 21 February 2005

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0206142

zbMATH Keywords

mixingdeconvolutionkernel estimatorstochastic volatility models

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

Adaptive estimation of the dynamics of a discrete time stochastic volatility model ⋮ Adaptive estimation of linear functionals in the convolution model and applications ⋮ Estimation of a multivariate stochastic volatility density by kernel deconvolution ⋮ ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Adaptive estimation of the hazard rate with multiplicative censoring ⋮ Adaptive estimation of the transition density of a particular hidden Markov chain ⋮ Root-\(T\) consistent density estimation in GARCH models ⋮ Adaptive density deconvolution with dependent inputs ⋮ Nonparametric estimation in a multiplicative censoring model with symmetric noise

Uses Software

• KernSmooth

Cites Work

• Strong consistency and rates for deconvolution of multivariate densities of stationary processes
• On the optimal rates of convergence for nonparametric deconvolution problems
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Asymptotic normality for deconvolution estimators of multivariate densities of stationary processes
• Rates of convergence of some estimators in a class of deconvolution problems
• Finite sample performance of deconvolving density estimators
• Generalized autoregressive conditional heteroscedasticity
• A note on empirical processes of strong-mixing sequences
• On the relation between GARCH and stable processes
• Multivariate probability density deconvolution for stationary random processes
• A consistent nonparametric density estimator for the deconvolution problem
• Deconvolving kernel density estimators
• Probability density estimation from sampled data
• Optimal Rates of Convergence for Deconvolving a Density
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

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