Nonparametric estimation of stochastic volatility models |
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| Authors: | Roberto Ren |
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| Institution: | Dipartimento di Economia Politica, Università di Siena, Piazza S. Francesco 7, 53100, Siena, Italy |
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| Abstract: | This letter introduces nonparametric estimators of the drift and diffusion coefficient of stochastic volatility models which exploit techniques for estimating integrated volatility with high-frequency data. The performance of the proposed estimators is assessed on simulations of two popular stochastic volatility models. |
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| Keywords: | Nonparametric estimation Stochastic volatility Realized volatility |
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