Yan-Feng Wu, Xiangyu Yang, Jian-Qiang Hu
arXiv 17 Aug 2024 · Finance — Statistical Finance · 1 citations (OpenAlex)
arXiv:2408.09185 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Eraker, B., Johannes, M., and Polson, N (2003) The impact of jumps in volatility and returns | 0.843 | 3 | 3 | 100% |
| 2 | Cox, J. C., Ingersoll Jr, J. E., and Ross, S. A (1985) A theory of the term structure of interest rates | 0.737 | 3 | 2 | 100% |
| 3 | Heston, S. L (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options | 0.737 | 3 | 2 | 100% |
| 4 | Barndorff-Nielsen, O. E. and Shephard, N (2001) Non-gaussian ornstein–uhlenbeck-based models and some of their uses in financial economics | 0.644 | 2 | 2 | 100% |
| 5 | Bates, D. S (1996) Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options | 0.644 | 2 | 2 | 100% |
| 6 | Bollerslev, T. and Zhou, H (2002) Estimating stochastic volatility diffusion using conditional moments of integrated volatility | 0.644 | 2 | 2 | 100% |
| 7 | Chacko, G. and Viceira, L. M (2003) Spectral gmm estimation of continuous-time processes | 0.644 | 2 | 2 | 100% |
| 8 | Jiang, G. J. and Knight, J. L (2002) Estimation of continuous-time processes via the empirical characteristic function | 0.644 | 2 | 2 | 100% |
| 9 | Singleton, K. J (2001) Estimation of affine asset pricing models using the empirical characteristic function | 0.644 | 2 | 2 | 100% |
| 10 | Genon-Catalot, V., Jeantheau, T., and Larédo, C (2000) Stochastic volatility models as hidden markov models and statistical applications | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 40 scored citations.