Estimation and asymptotic covariance matrix for stochastic volatility models

Cavicchioli Maddalena

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Estimation and asymptotic covariance matrix for stochastic volatility models

机译：随机波动率模型的估计和渐近协方差矩阵

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In this paper we compute the asymptotic variance-covariance matrix of the method of moments estimators for the canonical Stochastic Volatility model. Our procedure is based on a linearization of the initial process via the log-squared transformation of Breidt and Carriquiry (Modelling and prediction, honoring Seymour Geisel. Springer, Berlin, 1996). Knowledge of the asymptotic variance-covariance matrix of the method of moments estimators offers a concrete possibility for the use of the classical testing procedures. The resulting asymptotic standard errors are then compared with those proposed in the literature applying different parameter estimates. Applications on simulated data support our results. Finally, we present empirical applications on the daily returns of Euro-US dollar and Yen-US dollar exchange rates.

机译：在本文中，我们计算了典型随机波动率模型的矩估计器方法的渐近方差-协方差矩阵。我们的程序是基于Breidt和Carriquiry的对数平方变换对初始过程进行线性化处理（建模和预测，纪念SeymourGeisel。Springer，柏林，1996年）。矩估计器方法的渐近方差-协方差矩阵的知识为使用经典测试程序提供了具体的可能性。然后将所得渐近标准误差与文献中采用不同参数估计值的标准误差进行比较。模拟数据上的应用支持我们的结果。最后，我们介绍了欧元兑美元每日汇率和日元兑美元汇率的经验应用。

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来源
《Statistical Methods and Applications》 |2017年第3期|437-452|共16页
作者
Cavicchioli Maddalena;
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作者单位

Univ Modena & Reggio E, Dept Econ Marco Biagi, Viale Berengario 51, I-41121 Modena, Italy;

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正文语种 eng
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关键词
Stochastic volatility; Asymptotically stationary process; Consistency; Asymptotic normality; Asymptotic variance-covariance matrix; Financial returns;

机译：随机波动率;渐近平稳过程;一致性;渐近正态性;渐近方差-协方差矩阵;财务收益率;

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1. The Asymptotic Covariance Matrix of the Least Squares Estimator in the Stochastic Linear Regression Model: The Case of Elliptically Symmetric Distribution [J] . JIRO HODOSHIMA Communications in statistics: theory and methods . 2009,第3a5期

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2. The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model [J] . Janssen Anja, Mikosch Thomas, Rezapour Mohsen, Bernoulli: official journal of the Bernoulli Society for Mathematical Statistics and Probability . 2018,第2期

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3. ASYMPTOTIC ANALYSIS AND EXPLICIT ESTIMATION OF A CLASS OF STOCHASTIC VOLATILITY MODELS WITH JUMPS USING THE MARTINGALE ESTIMATING FUNCTION APPROACH [J] . Friedrich Hubalek, Petra Posedel Glasnik Matematicki . 2013,第1期

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4. A MIMO parameter estimation model taking Ricean fading channel and stochastically uncorrelated signals into account. Part II. Asymptotically efficient estimators [C] . Proceedings of the 3rd Annual Communication Networks and Services Research Conference . 2005

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5. Three essays in multivariate stochastic volatility: Multivariate stochastic volatility via Wishart random walks. Efficient frontier bounds under stochastic covariances. High dimensional factor multivariate stochastic volatility via Wishart random walks [D] . Philipov, Alexander. 2003

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6. A new estimation with minimum trace of asymptotic covariance matrix for incomplete longitudinal data with a surrogate process [O] . Baojiang Chen, Jing Qin -1

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7. Covariance Matrix Estimation and Particle Filtering Methods for Parameter Estimation in Stochastic Volatility Models [O] . Das Arnab Economics Australian School of Business UNSW 2015

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Estimation and asymptotic covariance matrix for stochastic volatility models

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