NONPARAMETRIC STOCHASTIC VOLATILITY

Bandi, FM; Reno, R

Reno, R (reprint author), Univ Verona, Via Cantarane 24, I-37129 Verona, Italy.

ECONOMETRIC THEORY, 2018; 34 (6): 1207

Abstract

We provide nonparametric methods for stochastic volatility modeling. Our methods allow for the joint evaluation of return and volatility dynamics with......

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