Journal article | Zeitschriftenartikel
Adaptive estimation of the dynamics of a discrete time stochastic volatility model
This paper is concerned with the discrete time stochastic volatility model Yi=exp(Xi/2)ηi, Xi+1=b(Xi)+σ(Xi)ξi+1, where only (Yi) is observed. The model is re-written as a particular hidden model: Zi=Xi+εi, Xi+1=b(Xi)+σ(Xi)ξi+1, where (ξi) and (εi) are independent sequences of i.i.d. noise. Moreover, the sequences (Xi) and (εi) are independent and the distribution of ε is known. Then, our aim is to estimate the functions b and σ2 when only observations Z1,…,Zn are available. We propose to estimate bf and (b2+σ2)f and study the integrated mean square error of projection estimators of these functions on automatically selected projection spaces. By ratio strategy, estimators of b and σ2 are then deduced. The mean square risk of the resulting estimators are studied and their rates are discussed. Lastly, simulation experiments are provided: constants in the penalty functions defining the estimators are calibrated and the quality of the estimators is checked on several examples.
- Extent
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Seite(n): 59-73
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Journal of Econometrics, 154(1)
- Classification
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Estimation: General
- Subject
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
- Event
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Geistige Schöpfung
- (who)
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Comte, F.
Lacour, C.
Rozenholc, Y.
- Event
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Veröffentlichung
- (where)
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Niederlande
- (when)
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2009
- DOI
- URN
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urn:nbn:de:0168-ssoar-261755
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
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21.06.2024, 4:26 PM CEST
Data provider
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Object type
- Zeitschriftenartikel
Associated
- Comte, F.
- Lacour, C.
- Rozenholc, Y.
Time of origin
- 2009
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