Estimation of a multivariate stochastic volatility density by kernel deconvolution

DOI10.1016/J.JMVA.2010.12.003zbMATH Open1207.62086arXiv0910.4337OpenAlexW2041104462MaRDI QIDQ631636FDOQ631636

Authors: Peter Spreij, Bert van Es 

Publication date: 14 March 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the process at discrete instants in time. The sampling times will be equidistant with vanishing distance. A multivariate Fourier-type deconvolution kernel density estimator based on the logarithm of the squared processes is proposed to estimate the multivariate volatility density. An expansion of the bias and a bound on the variance are derived. Key words: stochastic volatility models, multivariate density estimation, kernel estimator, deconvolution, mixing

Full work available at URL: https://arxiv.org/abs/0910.4337

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zbMATH Keywords

deconvolutionkernel estimatormixingmultivariate density estimationstochastic volatility models

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (9)

• Nonparametric volatility density estimation
• Statistical Skorohod embedding problem: optimality and asymptotic normality
• Nonparametric methods for volatility density estimation
• Penalized Projection Estimator for Volatility Density
• Title not available (Why is that?)
• Nonparametric volatility density estimation for discrete time models
• Kernel deconvolution of stochastic volatility models
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Nonparametric density estimation from observations with multiplicative measurement errors

Uses Software

• KernSmooth

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