{"title":"迭代滤波在非高斯Ornstein-Uhlenbeck随机波动过程瞬时方差参数估计中的应用","authors":"Piotr Szczepocki","doi":"10.5604/01.3001.0013.8364","DOIUrl":null,"url":null,"abstract":"The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility process by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique.\n\n","PeriodicalId":357447,"journal":{"name":"Przegląd Statystyczny","volume":"37 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Application of Iterated Filtering for Parametric Estimation of Instantaneous Variance in the Case of Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Processes\",\"authors\":\"Piotr Szczepocki\",\"doi\":\"10.5604/01.3001.0013.8364\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility process by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique.\\n\\n\",\"PeriodicalId\":357447,\"journal\":{\"name\":\"Przegląd Statystyczny\",\"volume\":\"37 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-05-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Przegląd Statystyczny\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5604/01.3001.0013.8364\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Przegląd Statystyczny","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5604/01.3001.0013.8364","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Application of Iterated Filtering for Parametric Estimation of Instantaneous Variance in the Case of Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Processes
The article presents a method for parametric estimation of instantaneous variance in the case of non-Gaussian Ornstein-Uhlenbeck stochastic volatility process by means of the iterated filtering and realized variance estimator. The method is applied to realized variance of S&P500 index data. Empirical application is accompanied with simulation study to examine performance of the estimation technique.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
