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| PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY | |
| 引用本文： | JIANG Wenjiang,J. PEDERSEN. PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY[J]. 数学年刊B辑(英文版), 2003, 24(2): 227-238 |
| 作者姓名： | JIANG Wenjiang J. PEDERSEN |
| 作者单位： | Institute of |
| 基金项目： | Project supported by the Yunnan Provincial Natural Science Foundation of China(No.00A0006R). |
| 摘 要： | In this paper a stochastic volatility model is considered. That is, a log price process Y which is given in terms of a volatility process V is studied. The latter is defined such that the log price possesses some of the properties empirically observed by Barndorff-Nielsen & Jiang[6]. In the model there are two sets of unknown parameters, one set corresponding to the marginal distribution of V and one to autocorrelation of V. Based on discrete time observations of the log price the authors discuss how to estimate the parameters appearing in the marginal distribution and find the asymptotic properties. |
| 关 键 词： | 参数估计 随机挥发模型 中心极限定理 大数定律 Levy过程 NIG分布 Ornstein－Uhlenbeck过程 证券价格 Brown运动 边缘分布 |
| 收稿时间： | 2010-10-01 |
PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY |
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| JIANG Wenjiang and J. PEDERSEN. PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY[J]. Chinese Annals of Mathematics,Series B, 2003, 24(2): 227-238 | |
| Authors: | JIANG Wenjiang and J. PEDERSEN |
| Affiliation: | 1. School of Mathematical Science, Yunnan Normal University, Kunming 650092, China 2. Institute of Mathematical Sciences, University of Aarhus, Aarhus, Denmark |
| Abstract: | In this paper a stochastic volatility model is considered. That is, a log price process Y which is given in terms of a volatility process V is studied. The latter is defined such that the log price possesses some of the properties empirically observed by Barndorff-Nielsen & Jiang[6]. In the model there are two sets of unknown parameters, one set corresponding to the marginal distribution of V and one to autocorrelation of V. Based on discrete time observations of the log price the authors discuss how to estimate the parameters appearing in the marginal distribution and find the asymptotic properties. |
| Keywords: | Stochastic volatility models NIG distributions Central limit theorems Law of large numbers Levy processes Ornstein-Uhlenbeck processes |
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