{"title":"仿随机波动率模型的矩估计法","authors":"Yan-Feng Wu, Xiangyu Yang, Jian-Qiang Hu","doi":"arxiv-2408.09185","DOIUrl":null,"url":null,"abstract":"We develop moment estimators for the parameters of affine stochastic\nvolatility models. We first address the challenge of calculating moments for\nthe models by introducing a recursive equation for deriving closed-form\nexpressions for moments of any order. Consequently, we propose our moment\nestimators. We then establish a central limit theorem for our estimators and\nderive the explicit formulas for the asymptotic covariance matrix. Finally, we\nprovide numerical results to validate our method.","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"11 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Method of Moments Estimation for Affine Stochastic Volatility Models\",\"authors\":\"Yan-Feng Wu, Xiangyu Yang, Jian-Qiang Hu\",\"doi\":\"arxiv-2408.09185\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We develop moment estimators for the parameters of affine stochastic\\nvolatility models. We first address the challenge of calculating moments for\\nthe models by introducing a recursive equation for deriving closed-form\\nexpressions for moments of any order. Consequently, we propose our moment\\nestimators. We then establish a central limit theorem for our estimators and\\nderive the explicit formulas for the asymptotic covariance matrix. Finally, we\\nprovide numerical results to validate our method.\",\"PeriodicalId\":501293,\"journal\":{\"name\":\"arXiv - ECON - Econometrics\",\"volume\":\"11 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-08-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - ECON - Econometrics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2408.09185\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - ECON - Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2408.09185","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.