کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096760 | 1376549 | 2011 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
In this paper, we present an estimation procedure which uses both option prices and high-frequency spot price feeds to estimate jointly the objective and risk-neutral parameters of stochastic volatility models. The procedure is based on a method of moments that uses analytical expressions for the moments of the integrated volatility and series expansions of option prices and implied volatilities. This results in an easily implementable and rapid estimation technique. An extensive Monte Carlo study compares various procedures and shows the efficiency of our approach. Empirical applications to the Deutsche mark-US dollar exchange rate futures and the S&P 500 index provide evidence that the method delivers results that are in line with the ones obtained in previous studies where much more involved estimation procedures were used.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 160, Issue 1, January 2011, Pages 22-32
Journal: Journal of Econometrics - Volume 160, Issue 1, January 2011, Pages 22-32
نویسندگان
René Garcia, Marc-André Lewis, Sergio Pastorello, Ãric Renault,