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Nonparametric estimation of stochastic volatility models · Study

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ArticleNonparametric estimation of stochastic volatility models

Roberto Renò2005

Article2005

Nonparametric estimation of stochastic volatility models

36 citations·0/0 files stored·Economics Letters

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1992ARCH modeling in finance 2003Modeling and Forecasting Realized Volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 19965 Stochastic volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk

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2009Stochastic Volatilityother · 10 shared references 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACHarticle · 9 shared references 2005Volatility Forecastingreport · 9 shared references 2000ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERSarticle · 9 shared references 2002Parametric and Nonparametric Volatility Measurementreport · 8 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 8 shared references

Details

Year2005

Typearticle

Published2005-12-28

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.econlet.2005.09.009

openalex_workW2053717802

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