Estimation of a multivariate stochastic volatility density by kernel deconvolution

DOI10.1016/J.JMVA.2010.12.003MaRDI QIDQ631636zbMATH OpenOpenAlexFDO

Authors Peter Spreij, Bert van Es

Publication date 14 March 2011

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

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

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)

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

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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
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Describes a project that uses

Uses Software

• KernSmooth

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