Nonparametric estimation of stochastic volatility models |
| |
Authors: | Roberto Ren |
| |
Affiliation: | Dipartimento di Economia Politica, Università di Siena, Piazza S. Francesco 7, 53100, Siena, Italy |
| |
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. |
| |
Keywords: | Nonparametric estimation Stochastic volatility Realized volatility |
本文献已被 ScienceDirect 等数据库收录! |