کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156970 | 958903 | 2008 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimation of the volatility persistence in a discretely observed diffusion model
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Estimation of the volatility persistence in a discretely observed diffusion model Estimation of the volatility persistence in a discretely observed diffusion model](/preview/png/1156970.png)
چکیده انگلیسی
We consider the stochastic volatility model dYt=σtdBt, with BB a Brownian motion and σσ of the form σt=Φ(∫0ta(t,u)dWuH+f(t)ξ0), where WHWH is a fractional Brownian motion, independent of the driving Brownian motion BB, with Hurst parameter H≥1/2H≥1/2. This model allows for persistence in the volatility σσ. The parameter of interest is HH. The functions ΦΦ, aa and ff are treated as nuisance parameters and ξ0ξ0 is a random initial condition. For a fixed objective time TT, we construct from discrete data Yi/n,i=0,…,nTYi/n,i=0,…,nT, a wavelet based estimator of HH, inspired by adaptive estimation of quadratic functionals. We show that the accuracy of our estimator is n−1/(4H+2)n−1/(4H+2) and that this rate is optimal in a minimax sense.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 118, Issue 8, August 2008, Pages 1434–1462
Journal: Stochastic Processes and their Applications - Volume 118, Issue 8, August 2008, Pages 1434–1462
نویسندگان
Mathieu Rosenbaum,