What is it about?
Jump-diffusion models are important tools for modeling asset prices. We provide estimators that allow to understand the price functional dynamics without making specific assumptions about the shape of the functions, letting the data speak for themselves. We depart from the existing literature because our analysis is richer in the dynamics of volatility and jumps.
Featured Image
Why is it important?
The importance of the paper is mainly theoretical: we show how to fully include jumps in a stochastic volatility model to obtain functional estimates of the dynamics, something that has not been done before.
Perspectives
This article has two main perspectives: the first one is showing that we can obtain reasonable estimates of asset price dynamics for a realistic model which includes the main sources of risk. The second one is to show how to deal with the unboundedness of the variables of interest: we show that it is without loss of generality assuming that they are bounded, which is a key semplification in this area.
Roberto Reno
Universita degli Studi di Verona
Read the Original
This page is a summary of: NONPARAMETRIC STOCHASTIC VOLATILITY, Econometric Theory, July 2018, Cambridge University Press,
DOI: 10.1017/s0266466617000457.
You can read the full text:
Contributors
The following have contributed to this page
