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
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Number of References: 24
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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.
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| Keywords: Stochastic volatility models; Density estimation; Kernel estimator; Deconvolution; Mixing |
| view references (24) |

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