仿随机波动率模型的矩估计法

Yan-Feng Wu, Xiangyu Yang, Jian-Qiang Hu
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引用次数: 0

摘要

我们开发了仿射随机波动模型参数的矩估计器。我们首先引入了一个递归方程,用于推导任意阶矩的闭式公式,从而解决了计算模型矩的难题。因此,我们提出了矩估计器。然后,我们建立了估计器的中心极限定理,并推导出渐近协方差矩阵的显式。最后,我们提供数值结果来验证我们的方法。
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Method of Moments Estimation for Affine Stochastic Volatility Models
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for moments of any order. Consequently, we propose our moment estimators. We then establish a central limit theorem for our estimators and derive the explicit formulas for the asymptotic covariance matrix. Finally, we provide numerical results to validate our method.
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