On the estimation of non linear functions in stochastic volatility models |
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Authors: | Giuseppina Albano Francesco Giordano Cira Perna |
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Affiliation: | 1. Department of Political and Social Studies, University of Salerno, Fisciano, Italy;2. pialbano@unisa.it;4. Department of Economics and Statistics, University of Salerno, Fisciano, Italy |
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Abstract: | AbstractThis paper focuses on the inference of suitable generally non linear functions in stochastic volatility models. In this context, in order to estimate the variance of the proposed estimators, a moving block bootstrap (MBB) approach is suggested and discussed. Under mild assumptions, we show that the MBB procedure is weakly consistent. Moreover, a methodology to choose the optimal length block in the MBB is proposed. Some examples and simulations on the model are also made to show the performance of the proposed procedure. |
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Keywords: | Volatility ergodicity smooth function of the sample mean bootstrap |
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