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Application in stochastic volatility models of nonlinear regression with stochastic design

โœ Scribed by Ping Chen; Jinde Wang

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
267 KB
Volume
26
Category
Article
ISSN
1524-1904

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โœฆ Synopsis

Abstract

In regression model with stochastic design, the observations have been primarily treated as a simple random sample from a bivariate distribution. It is of enormous practical significance to generalize the situation to stochastic processes. In this paper, estimation and hypothesis testing problems in stochastic volatility model are considered, when the volatility depends on a nonlinear function of the state variable of other stochastic process, but the correlation coefficient |ฯ|โ‰ ยฑ1. The methods are applied to estimate the volatility of stock returns from Shanghai stock exchange. Copyright ยฉ 2009 John Wiley & Sons, Ltd.

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