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Estimation of the volatility diffusion coefficient for a stochastic volatility model

Abstract : We study, in the stochastic volatility model introduced by Hull and White [6], the estimation of the diffusion coefficient for the volatility process. The model is discretely observed on a fixed length time interval and no ergodicity assumption is needed for the volatility process. We construct an estimator show its consistency and establish that its rate of convergence is N-1/4 (N is the number of observations). (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.
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Submitted on : Wednesday, May 2, 2012 - 11:46:25 PM
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Arnaud Gloter. Estimation of the volatility diffusion coefficient for a stochastic volatility model. Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 2000, 330 (3), pp.243--248. ⟨10.1016/S0764-4442(00)00119-1⟩. ⟨hal-00693795⟩

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