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Recent Advances and Trends in Nonparametric Statistics
Volumn , Issue , 2003, Pages 303-313
Nonparametric Estimation in a Stochastic Volatility Model
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EID: 84902236888     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-044451378-6/50020-X     Document Type: Chapter
Times cited : (6)
References (14)
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  • 2
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    • Optimal rates of convergence for deconvoluting a density
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    • Carroll, R.J.1    Hall, P.2
  • 3
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    • Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model
    • Chesney M., Scott L.O. Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model. J. Financial Quant. Anal. 1989, 24:267-284.
    • (1989) J. Financial Quant. Anal. , vol.24 , pp. 267-284
    • Chesney, M.1    Scott, L.O.2
  • 4
    • 0003614268 scopus 로고
    • Mixing: Properties on Examples
    • Springer-Verlag, New York
    • Doukhan P. Mixing: Properties on Examples. Lecture Notes in Statistics 1994, 85. Springer-Verlag, New York.
    • (1994) Lecture Notes in Statistics , vol.85
    • Doukhan, P.1
  • 5
    • 0000867838 scopus 로고
    • On the optimal rates of convergence for nonparametric deconvolution problems
    • Fan J. On the optimal rates of convergence for nonparametric deconvolution problems. Ann. Statist. 1991, 19:1257-1272.
    • (1991) Ann. Statist. , vol.19 , pp. 1257-1272
    • Fan, J.1
  • 6
    • 0002688277 scopus 로고
    • Asymptotic normality for deconvolution kernel density estimators
    • Fan J. Asymptotic normality for deconvolution kernel density estimators. Sankhyā Ser. A 1991, 53:97-110.
    • (1991) Sankhyā Ser. A , vol.53 , pp. 97-110
    • Fan, J.1
  • 7
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    • Nonparametric regression with errors in variables
    • Fan J., Truong Y.K. Nonparametric regression with errors in variables. Ann. Statist. 1993, 21:1900-1925.
    • (1993) Ann. Statist. , vol.21 , pp. 1900-1925
    • Fan, J.1    Truong, Y.K.2
  • 9
    • 84988058829 scopus 로고
    • A consistent nonparametric density estimator for the deconvolution problem
    • Liu M.C., Taylor R.L. A consistent nonparametric density estimator for the deconvolution problem. Canad. J. Statist. 1989, 17:427-438.
    • (1989) Canad. J. Statist. , vol.17 , pp. 427-438
    • Liu, M.C.1    Taylor, R.L.2
  • 10
    • 24944554085 scopus 로고
    • Option Pricing When the Variance Changes Randomly: Theory, Estimation and an Application
    • Scott L.O. Option Pricing When the Variance Changes Randomly: Theory, Estimation and an Application. J. Financial Quant. Anal. 1987, 22:419-438.
    • (1987) J. Financial Quant. Anal. , vol.22 , pp. 419-438
    • Scott, L.O.1
  • 11
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    • Random Variance Option Pricing: Empirical Tests of the Model and Delta-Sigma Hedging
    • Scott L.O. Random Variance Option Pricing: Empirical Tests of the Model and Delta-Sigma Hedging. Adv. Futures Options Res. 1991, 5:113-135.
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  • 12
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    • Deconvoluting kernel density estimators
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    • Stefanski, L.A.1    Carroll, R.J.2
  • 13
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    • Modelling Stochastic Volatility: A Review and Comparative Study
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  • 14
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    • Option Values Under Stochastic Volatility: Theory and Empirical Estimates
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