仿随机波动率模型的矩估计法

Yan-Feng Wu, Xiangyu Yang, Jian-Qiang Hu
{"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}
引用次数: 0

摘要

我们开发了仿射随机波动模型参数的矩估计器。我们首先引入了一个递归方程,用于推导任意阶矩的闭式公式,从而解决了计算模型矩的难题。因此,我们提出了矩估计器。然后,我们建立了估计器的中心极限定理,并推导出渐近协方差矩阵的显式。最后,我们提供数值结果来验证我们的方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信