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Nonparametric volatility density estimation for discrete time models 

Authors: Bert Van Es a;  Peter Spreij b; Harry Van Zanten b
Affiliations:   a Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam, Amsterdam, The Netherlands
b Division of Mathematics and Computer Science, Vrije Universiteit, Amsterdam, The Netherlands
DOI: 10.1080/1048525042000267752
Publication Frequency: 8 issues per year
Published in: journal Journal of Nonparametric Statistics, Volume 17, Issue 2 March 2005 , pages 237 - 249
Number of References: 24
Formats available: HTML (English) : PDF (English)
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Abstract

We consider discrete time models for asset prices with a stationary volatility process. We aim at estimating the multivariate density of this process at a set of consecutive time instants. A Fourier-type deconvolution kernel density estimator based on the logarithm of the squared process is proposed to estimate the volatility density. Expansions of the bias and bounds on the variance are derived.
Keywords: Stochastic volatility models; Density estimation; Kernel estimator; Deconvolution; Mixing
view references (24)
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