Multivariate Nonparametric Volatility Density Estimation

Details Multivariate Nonparametric Volatility Density Estimation Multivariate Nonparametric Volatility Density Estimation

2009-10-22

arxiv.org/abs/0910.4337v1

Mathematics

Statistics Theory

Scientific paper

We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the process at discrete instants in time. The sampling times will be equidistant with vanishing distance. A multivariate Fourier-type deconvolution kernel density estimator based on the logarithm of the squared processes is proposed to estimate the multivariate volatility density. An expansion of the bias and a bound on the variance are derived. Key words: stochastic volatility models, multivariate density estimation, kernel estimator, deconvolution, mixing

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