A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the …, standard estimation methods for fully observed diffusion processes are employed, but with the filtered volatility process … replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … conditional on the physical measure of the underlying asset. Via direct series type estimation of the pricing kernel we can derive …