Concepedia

Nonparametric Stochastic Volatility

Nonparametric Stochastic Volatility is a stochastic volatility framework that belongs to the class of financial econometric models and is distinguished by its avoidance of predefined parametric assumptions regarding the functional form of volatility dynamics, allowing instead for data-driven estimation of the volatility process.

24

Publications

900

Citations

27

Authors

33

Institutions

Publications per year

2017–2026

3

Parents

Publications

24

Extended Libor market models with stochastic volatility

Leif B. G. Andersen, Rupert Brotherton-Ratcliffe · The Journal of Computational Finance · 2005 · 119 citations

, , +17

Extended Libor Market Models with Stochastic Volatility

Leif B. G. Andersen, Rupert Brotherton-Ratcliffe · SSRN Electronic Journal · 2001 · 86 citations · Full text

, , +17

The Realized Laplace Transform of Volatility

Viktor Todorov, George Tauchen · Econometrica · 2012 · 69 citations

, , +17

ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING

Shin Kanaya, Dennis Kristensen · Econometric Theory · 2015 · 64 citations · Full text

, , +17

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

Flávio Augusto Ziegelmann · Econometric Theory · 2002 · 63 citations · Full text

, , +16

1–5 of 24

Authors

27

  1. RR
    Roberto Renò

    University of Siena, Italy

    4 publications · 135 citations

    4

    h-index

  2. JE
    Jim E. Griffin

    University of Kent, United Kingdom

    3 publications · 76 citations

    3

    h-index

  3. FM
    Federico M. Bandi

    Johns Hopkins University, United States

    3 publications · 94 citations

    3

    h-index

  4. GT
    George Tauchen

    Duke University, United States

    2 publications · 87 citations

    2

    h-index

  5. ED
    Eleni-Ioanna Delatola

    University of Kent, United Kingdom

    2 publications · 63 citations

    2

    h-index

1–5 of 27

Institutions

33

  1. University of Kent

    Canterbury, United Kingdom

    4 h-index

    5 publications

    192 citations

  2. Johns Hopkins University

    Baltimore, United States

    3 h-index

    3 publications

    94 citations

  3. Aarhus University

    Aarhus, Denmark

    2 h-index

    3 publications

    96 citations

  4. University College London

    London, United Kingdom

    2 h-index

    2 publications

    26 citations

  5. Northwestern University

    Evanston, United States

    2 h-index

    3 publications

    105 citations

  6. University of Siena

    Siena, Italy

    2 h-index

    2 publications

    73 citations

  7. William Carey University

    Hattiesburg, United States

    1 h-index

    1 publications

    36 citations

  8. Harvard University Press

    Cambridge, United States

    1 h-index

    1 publications

    23 citations

1–8 of 33

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 171 citations

    5

    h-index

  2. Econometric Theory

    3 publications · 153 citations

    3

    h-index

  3. The Annals of Statistics

    2 publications · 72 citations

    2

    h-index

  4. The Journal of Human Resources

    JHR · 1 publications · 44 citations

    1

    h-index

  5. Institutional Repositories DataBase (IRDB)

    Repository · 1 publications · 32 citations

    1

    h-index

1–5