The present work focuses on the inference in stochastic volatility models. More precisely, estimation of suitable functions of the mean vector of the increment stock price is performed without estimating in advance the parameters of the model. A moving block bootstrap (MBB) approach is then suggested in order to estimate the variance of those functions and properties of the involved estimators are discussed. Simulations on the model are also performed
Estimating smooth functions of sample mean in diffusion processes: a MBB approach
ALBANO, GIUSEPPINA;GIORDANO, Francesco;PERNA, Cira
2010
Abstract
The present work focuses on the inference in stochastic volatility models. More precisely, estimation of suitable functions of the mean vector of the increment stock price is performed without estimating in advance the parameters of the model. A moving block bootstrap (MBB) approach is then suggested in order to estimate the variance of those functions and properties of the involved estimators are discussed. Simulations on the model are also performedFile in questo prodotto:
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