Nonparametric estimation of stochastic volatility models

被引：22

作者：

Renò, R ^{[1
]}

机构：

[1] Univ Siena, Dipartimento Econ Polit, I-53100 Siena, Italy

来源：

ECONOMICS LETTERS | 2006年 / 90卷 / 03期

关键词：

nonparametric estimation; stochastic volatility; realized volatility;

D O I：

10.1016/j.econlet.2005.09.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：390 / 395

页数：6

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