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Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

Persistent link: https://www.econbiz.de/10009582392

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460

Probabilistic aspects of financial risk

Föllmer, Hans - 2000

Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.

Persistent link: https://www.econbiz.de/10009612020

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...

Persistent link: https://www.econbiz.de/10009578570

Autoregressive aided periodogram bootstrap for time series

Kreiß, Jens-Peter; Paparoditis, Efstathios - 2001

A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a … time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram … theory developed shows validity of the proposed bootstrap procedure for a large class of periodogram statistics. For …

Persistent link: https://www.econbiz.de/10009614876

Consistent testing for stochastic dominance under general sampling schemes

Linton, Oliver (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916170

Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yu. A. - 1998

efficiency is also discussed. -- Stochastic Differential Delay Equations ; Diffusion-type process ; Estimation of Delay …

Persistent link: https://www.econbiz.de/10009578018

On estimating a dynamic function of a stochastic system with averaging

Liptser, R.; Spokojnyj, Vladimir G. - 1998

selection ; fast and slow components ; drift and diffusion coefficients ; averaging principle ; nonparametric estimation …

Persistent link: https://www.econbiz.de/10009578564

Stability of linear stochastic difference equations in controlled random environments

Horst, Ulrich - 2002

We consider the stochastic sequence {Yi}t E N defined recursively by the linear relation Yt+l = AtYt + Bt in a random environment. The environment is described by the stochastic process {(At, Bt ) }t E N and is under the simultaneous control of several agents playing a discounted stochastic...

Persistent link: https://www.econbiz.de/10009627287

Minimax rates for nonparametric estimation of the drift functional in affine stochastic delay equations

Reiß, Markus - 2000

Persistent link: https://www.econbiz.de/10009612046