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 performed
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/3037115
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact