This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain ...
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This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
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Add this copy of Parameter Estimation in Stochastic Volatility Models to cart. $156.63, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2023 by Springer International Publishing AG.
Add this copy of Parameter Estimation in Stochastic Volatility Models to cart. $156.63, new condition, Sold by Ria Christie Books rated 5.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2022 by Springer International Publishing AG.
Add this copy of Parameter Estimation in Stochastic Volatility Models to cart. $168.69, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2023 by Springer International Publishing AG.
Add this copy of Parameter Estimation in Stochastic Volatility Models to cart. $168.69, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2022 by Springer International Publishing AG.
