Nonparametric methods for volatility density estimation

DOI10.1007/978-3-642-18412-3_11MaRDI QIDQ5198564zbMATH OpenOpenAlexFDO

Authors Peter Spreij, Harry van Zanten, Bert van Es

Publication date 8 August 2011

Published in Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.5185

zbMATH Keywords

waveletsdensity estimationdeconvolutionkernel estimatormixingstochastic volatility modelsminimum contrast estimatio

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)

Abstract: Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the volatility process. Both models based on discretely sampled continuous time processes and discrete time models will be discussed. The key insight for the analysis is a transformation of the volatility density estimation problem to a deconvolution model for which standard methods exist. Three type of nonparametric density estimators are reviewed: the Fourier-type deconvolution kernel density estimator, a wavelet deconvolution density estimator and a penalized projection estimator. The performance of these estimators will be compared. Key words: stochastic volatility models, deconvolution, density estimation, kernel estimator, wavelets, minimum contrast estimation, mixing

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Cited in

(21)

• Nonparametric volatility density estimation
• Nonparametric implied Lévy densities
• Nonparametric modelling and estimation of stochastic volatility
• Nonparametric estimation of volatility and its parametric analogs
• Bivariate nonparametric density estimation of stock prices and volume
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• Penalized Projection Estimator for Volatility Density
• The integration of dual-domain method for estimating the volatility of financial assets
• Non-parametric estimation of historical volatility
• Asymptotic and qualitative performance of non-parametric density estimators: a comparative study
• NONPARAMETRIC STOCHASTIC VOLATILITY
• Nonparametric volatility density estimation for discrete time models
• Kernel deconvolution of stochastic volatility models
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• A selective overview of nonparametric methods in financial econometrics
• Non-parametric volatility estimation in continuous time
• A Fourier transform method for nonparametric estimation of multivariate volatility
• Nonparametric Estimation Methods of Integrated Multivariate Volatilities

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