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Article Dans Une Revue Comptes rendus de l'Académie des sciences. Série I, Mathématique Année : 2000

Estimation of the volatility diffusion coefficient for a stochastic volatility model

Résumé

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.

Dates et versions

hal-00693795 , version 1 (02-05-2012)

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Citer

Arnaud Gloter. Estimation of the volatility diffusion coefficient for a stochastic volatility model. Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2000, 330 (3), pp.243--248. ⟨10.1016/S0764-4442(00)00119-1⟩. ⟨hal-00693795⟩
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