Method of Moments Estimation for Affine Stochastic Volatility Models
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866913471000477696 |
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| author | Wu, Yan-Feng Yang, Xiangyu Hu, Jian-Qiang |
| author_facet | Wu, Yan-Feng Yang, Xiangyu Hu, Jian-Qiang |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_09185 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Method of Moments Estimation for Affine Stochastic Volatility Models Wu, Yan-Feng Yang, Xiangyu Hu, Jian-Qiang Statistical Finance Econometrics 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. |
| title | Method of Moments Estimation for Affine Stochastic Volatility Models |
| topic | Statistical Finance Econometrics |
| url | https://arxiv.org/abs/2408.09185 |