Parametric estimation of hidden stochastic model by contrast minimization and deconvolution: application to the Stochastic Volatility Model
AbstractWe study a new parametric approach for particular hidden stochastic models such as the Stochastic Volatility model. This method is based on contrast minimization and deconvolution. After proving consistency and asymptotic normality of the estimation leading to asymptotic confidence intervals, we provide a thorough numerical study, which compares most of the classical methods that are used in practice (Quasi Maximum Likelihood estimator, Simulated Expectation Maximization Likelihood estimator and Bayesian estimators). We prove that our estimator clearly outperforms the Maximum Likelihood Estimator in term of computing time, but also most of the other methods. We also show that this contrast method is the most robust with respect to non Gaussianity of the error and also does not need any tuning parameter.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1202.2559.
Date of creation: Feb 2012
Date of revision: Mar 2013
Publication status: Published in Metrika, journal 184 article 430, 2013
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-20 (All new papers)
- NEP-ECM-2012-02-20 (Econometrics)
- NEP-ETS-2012-02-20 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 239-265.
- Ronald J. Mahieu & Peter C. Schotman, 1998.
"An empirical application of stochastic volatility models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd.,
John Wiley & Sons, Ltd., vol. 13(4), pages 333-360.
- Mahieu, R.J. & Schotman, P.C., 1998. "An empirical application of stochastic volatility models," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-3131739, Tilburg University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.