We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is often adequate, but we do observe deviations from Gaussian noise for some assets, for instance gold.
This paper develops nonparametric specification tests for stochastic volatility models by comparing ...
First draft: October 2007; This draft: June 2008Using recent advances in the nonparametric estimatio...
In this paper we derive nonparametric stochastic volatility models in discrete time. These models ge...
We propose a nonparametric method to determine the functional form of the noise density in discrete...
Stochastic volatility modelling of financial processes has become increasingly popular. The proposed...
The basic model for high-frequency data in finance is considered, where an efficient price process i...
Abstract: We consider discrete time models for asset prices with a stationary volatility process. We...
We consider discrete time models for asset prices with a stationary volatility process. We aim at es...
Stochastic volatility modelling of financial processes has become popular and most models contain a ...
Using recent advances in the nonparametric estimation of continuous-time processes under mild statis...
We consider a continuous-time stochastic volatility model. The model contains a stationary volatilit...
We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint...
Stochastic volatility models decompose the time series of financial returns into the product of a vo...
With the availability of high frequency financial data, nonparametric estimation of volatility of an...
This paper develops a specification test for stochastic volatility models by comparing the nonparame...
This paper develops nonparametric specification tests for stochastic volatility models by comparing ...
First draft: October 2007; This draft: June 2008Using recent advances in the nonparametric estimatio...
In this paper we derive nonparametric stochastic volatility models in discrete time. These models ge...
We propose a nonparametric method to determine the functional form of the noise density in discrete...
Stochastic volatility modelling of financial processes has become increasingly popular. The proposed...
The basic model for high-frequency data in finance is considered, where an efficient price process i...
Abstract: We consider discrete time models for asset prices with a stationary volatility process. We...
We consider discrete time models for asset prices with a stationary volatility process. We aim at es...
Stochastic volatility modelling of financial processes has become popular and most models contain a ...
Using recent advances in the nonparametric estimation of continuous-time processes under mild statis...
We consider a continuous-time stochastic volatility model. The model contains a stationary volatilit...
We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint...
Stochastic volatility models decompose the time series of financial returns into the product of a vo...
With the availability of high frequency financial data, nonparametric estimation of volatility of an...
This paper develops a specification test for stochastic volatility models by comparing the nonparame...
This paper develops nonparametric specification tests for stochastic volatility models by comparing ...
First draft: October 2007; This draft: June 2008Using recent advances in the nonparametric estimatio...
In this paper we derive nonparametric stochastic volatility models in discrete time. These models ge...