Estimation of the volatility diffusion coefficient for a stochastic volatility model
Gloter, Arnaud
HAL, hal-00693795 / Harvested from HAL
Text on HAL
We study, in the stochastic volatility model introduced by Hull and White [6], the estimation of the diffusion coefficient for the volatility process. The model is discretely observed on a fixed length time interval and no ergodicity assumption is needed for the volatility process. We construct an estimator show its consistency and establish that its rate of convergence is N-1/4 (N is the number of observations). (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.
Publié le : 2000-07-05
Classification:  [MATH.MATH-MP]Mathematics [math]/Mathematical Physics [math-ph] 
@article{hal-00693795,
     author = {Gloter, Arnaud},
     title = {Estimation of the volatility diffusion coefficient for a stochastic volatility model},
     journal = {HAL},
     volume = {2000},
     number = {0},
     year = {2000},
     language = {fr},
     url = {http://dml.mathdoc.fr/item/hal-00693795}
}

Gloter, Arnaud. Estimation of the volatility diffusion coefficient for a stochastic volatility model. HAL, Tome 2000 (2000) no. 0, . http://gdmltest.u-ga.fr/item/hal-00693795/