Estimation of Stochastic Volatility Models by Nonparametric Filtering

Citations

Cited by:

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8. Matthieu Garcin & Clément Goulet, 2017. "Non-parametric news impact curve: a variational approach," Post-Print halshs-01244292, HAL.
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11. Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
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12. Jin Yu Fu & Jin Guan Lin & Guangying Liu & Hong Xia Hao, 2024. "Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(4), pages 613-638, July.
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19. Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
20. Chao Yu & Yue Fang & Zeng Li & Bo Zhang & Xujie Zhao, 2014. "Non-Parametric Estimation Of High-Frequency Spot Volatility For Brownian Semimartingale With Jumps," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 572-591, November.
21. Matthieu Garcin & Clément Goulet, 2017. "Non-parametric news impact curve: a variational approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01244292, HAL.
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24. Kim, Jihyun & Park, Joon & Wang, Bin, 2020. "Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments," TSE Working Papers 20-1096, Toulouse School of Economics (TSE).
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29. Kalnina, Ilze & Tewou, Kokouvi, 2025. "Cross-sectional dependence in idiosyncratic volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
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    • KALNINA, Ilze & TEWOU, Kokouvi, 2015. "Cross-sectional dependence in idiosyncratic volatility," Cahiers de recherche 2015-04, Universite de Montreal, Departement de sciences economiques.
    • Ilze Kalnina & Kokouvi Tewou, 2024. "Cross-sectional Dependence in Idiosyncratic Volatility," Papers 2408.13437, arXiv.org, revised May 2025.
30. Arthur T. Rego & Thiago R. dos Santos, 2018. "Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler," Papers 1809.01501, arXiv.org, revised Oct 2018.
31. Bandi, Federico & Corradi, Valentina & Moloche, Guillermo, 2009. "Bandwidth selection for continuous-time Markov processes," MPRA Paper 43682, University Library of Munich, Germany.
32. Matthieu Garcin & Clément Goulet, 2015. "A fully non-parametric heteroskedastic model," Documents de travail du Centre d'Economie de la Sorbonne 15086, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.