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Parameter Estimation in Stochastic Volatility Models

Jaya P. N. Bishwal
Springer International Publishing
160.49 € · Hardcover

Ito stochastic differential equation stochastic volatility model jumps long memory fractional Brownian motion fractional Levy poses partially observed models parameter estimation discrete observations high frequency data asymptotic theory approximate maximum likelihood method minimum contrast method Berry-Esseen bounds

This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the...

Parameter Estimation in Stochastic Volatility Models

Jaya P. N. Bishwal
Springer International Publishing
160.49 € · eBook

Ito stochastic differential equation stochastic volatility model jumps long memory fractional Brownian motion fractional Levy poses partially observed models parameter estimation discrete observations high frequency data asymptotic theory approximate maximum likelihood method minimum contrast method Berry-Esseen bounds

This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the...

Parameter Estimation in Stochastic Volatility Models

Jaya P. N. Bishwal
Springer International Publishing
160.49 € · Paperback

Ito stochastic differential equation stochastic volatility model jumps long memory fractional Brownian motion fractional Levy poses partially observed models parameter estimation discrete observations high frequency data asymptotic theory approximate maximum likelihood method minimum contrast method Berry-Esseen bounds

This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the...

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