Title of article :
Nonparametric estimation of stochastic volatility models
Author/Authors :
Roberto Ren?، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Pages :
6
From page :
390
To page :
395
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 :
Stochastic Volatility , Realized volatility , Nonparametric estimation
Journal title :
Economics Letters
Serial Year :
2006
Journal title :
Economics Letters
Record number :
435879
Link To Document :
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