|
|
| |
| PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY |
| |
Citation： |
JIANG Wenjiang,J. PEDERSEN.PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY[J].Chinese Annals of Mathematics B,2003,24(2):227~238 |
| Page view： 1267
Net amount： 801 |
Authors： |
JIANG Wenjiang; J. PEDERSEN |
Foundation： |
Project supported by the Yunnan Provincial Natural Science Foundation of China (No.00A0006R). |
|
|
| Abstract： |
In this paper a stochastic volatility model is
considered. That is, a log price process $Y$ which is
given in terms of a volatility process $V$ is studied. The latter is defined
such that the log price possesses some of the properties
empirically observed by Barndorff-Nielsen \& Jiang$^{[6]}$. In the
model there are two sets of unknown parameters, one set
corresponding to the marginal distribution of $V$ and one to
autocorrelation of $V$. Based on discrete time observations of the
log price the authors discuss how to estimate the parameters appearing in
the marginal distribution and find the asymptotic properties. |
Keywords： |
Stochastic volatility models, NIG distributions, Central limit theorems,
Law of large numbers, Levy processes, Ornstein-Uhlenbeck processes |
Classification： |
60F15, 60G10, 60J75, 62P05 |
|
|
Download PDF Full-Text
|
