Title of article :
Nonparametric estimation of stochastic volatility models
Author/Authors :
Roberto Ren?، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
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
Journal title :
Economics Letters