Nonparametric estimation for a stochastic volatility model
نویسندگان
چکیده
In this paper we derive nonparametric stochastic volatility models in discrete time. These models generalize parametric autoregressive random variance models, which have been applied quite successfully to nancial time series. For the proposed models we investigate nonparametric kernel smoothers. It is seen that so-called nonparametric deconvolution estimators could be applied in this situation and that consistency results known for nonparametric errorsin-variables models carry over to the situation considered herein.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 14 شماره
صفحات -
تاریخ انتشار 2010