Volltext herunterladen
(1.945 MB)
Zitationshinweis
Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-261755
Export für Ihre Literaturverwaltung
Adaptive estimation of the dynamics of a discrete time stochastic volatility model
[Zeitschriftenartikel]
Abstract 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,... mehr
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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter
C13; C14; C22; Adaptive Estimation; Autoregression; Deconvolution; Heteroscedastic; Hidden Markov Model; Nonparametric Projection Estimator
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 59-73
Zeitschriftentitel
Journal of Econometrics, 154 (2009) 1
DOI
https://doi.org/10.1016/j.jeconom.2009.07.001
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)