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
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