Minimum Disparity Estimator in Continuous Time Stochastic Volatility Model

dc.contributor.advisorSlud, Eric V.en_US
dc.contributor.authorLi, Ziliangen_US
dc.contributor.departmentMathematical Statisticsen_US
dc.contributor.publisherDigital Repository at the University of Marylanden_US
dc.contributor.publisherUniversity of Maryland (College Park, Md.)en_US
dc.description.abstractIn the study of finance, likelihood based or moment based methods are frequently used to estimate parameters for various kinds of models given the sampled return data. While the former method is not robust, the latter one suffers from loss of efficiency and high noise-to-signal ratio in the data. In this paper, we investigate the ergodic behavior of the bivariate series described by the Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. In particular, we study its beta-mixing property and the differentiability of its stationary distribution. A robust and efficient estimation scheme for continuous models called the Negative Exponential Disparity Estimator (NEDE) is studied. We apply this method and the classical Method of Moments (MOM) to the BN-S model. Asymptotic properties of the NEDE and the MOM estimator are proved, implementation details are provided.en_US
dc.subject.pqcontrolledEconomics, Financeen_US
dc.subject.pquncontrolledGeometric Ergodicityen_US
dc.subject.pquncontrolledKernel Density Estimateen_US
dc.subject.pquncontrolledMethod of Momentsen_US
dc.subject.pquncontrolledMinimum Disparity Estimatoren_US
dc.subject.pquncontrolledStochastic Volatility modelen_US
dc.titleMinimum Disparity Estimator in Continuous Time Stochastic Volatility Modelen_US


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