کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096911 | 1376557 | 2010 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Adaptive estimation of the dynamics of a discrete time stochastic volatility model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper is concerned with the discrete time stochastic volatility model Yi=exp(Xi/2)ηi, Xi+1=b(Xi)+Ï(Xi)ξi+1, where only (Yi) is observed. The model is rewritten as a particular hidden model: Zi=Xi+εi, Xi+1=b(Xi)+Ï(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 Ï2 when only observations Z1,â¦,Zn are available. We propose to estimate bf and (b2+Ï2)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 Ï2 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 154, Issue 1, January 2010, Pages 59-73
Journal: Journal of Econometrics - Volume 154, Issue 1, January 2010, Pages 59-73
نویسندگان
F. Comte, C. Lacour, Y. Rozenholc,