Kernel deconvolution of stochastic volatility models

DOI10.1111/J.1467-9892.2004.01825.XzbMath1062.62166OpenAlexW3123082839MaRDI QIDQ4677031

Fabienne Comte

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01825.x

zbMATH Keywords

asymptotic behaviorerrors-in-variables modeldeconvolution kernel estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Shape-constrained semiparametric additive stochastic volatility models ⋮ The effects of error magnitude and bandwidth selection for deconvolution with unknown error distribution ⋮ Estimation of a multivariate stochastic volatility density by kernel deconvolution ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Penalized Projection Estimator for Volatility Density ⋮ Semiparametric estimation of regression functions in autoregressive models ⋮ Adaptive density deconvolution with dependent inputs

Cites Work

• The Pricing of Options and Corporate Liabilities
• Markov chains and stochastic stability
• Qualitative threshold ARCH models
• Mixing: Properties and examples
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Critères d'ergodicité géométrique ou arithmétique de modèles linéaires pertubés à représentation markovienne

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