Cramér-Rao bound for stochastic volatility model

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F02%3A00072016" target="_blank" >RIV/49777513:23520/02:00072016 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Cramér-Rao bound for stochastic volatility model

Original language description

Estimation problems for the stochastic volatility (SV) model, which is significant in financial econometrics, is discussed. Recursive relations for computation of the Cramér-Rao (CR) bound are derived for state and parameter estimation of this model. Anattention is paid to regularity conditions for CR bound calculation. As the CR bound represents a lower bound of the mean square error of an estimate, is can serve as a gauge of quality of nonlinear estimators for the SV model.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BC - Theory and management systems

OECD FORD branch

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Project

<a href="/en/project/GA102%2F01%2F0021" target="_blank" >GA102/01/0021: Nonlinear estimation and change detection for stochastic systems</a><br>

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2002

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Cramér-Rao bound for stochastic volatility model

ISBN

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ISSN

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e-ISSN

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Number of pages

1

Pages from-to

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Publisher name

Neuveden

Place of publication

Neuveden

Event location

Neuveden

Event date

Jan 1, 2002

Type of event by nationality

CST - Celostátní akce

UT code for WoS article

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