Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations

In this paper, we review recent advances on change point estimation for the volatility component of stochastic differential equations under different discrete sampling schemes. We consider both ergodic and non-ergodic cases, and present a Monte Carlo study on the change point estimator to compare the three methods under different setups. Copyright 2010 The Authors Economic Notes 2010 Banca Monte dei Paschi di Siena SpA.

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Year of publication:	2010
Authors:	Iacus, Stefano M. ; Yoshida, Nakahiro
Published in:	Economic Notes. - Banca Monte dei Paschi di Siena SpA. - Vol. 39.2010, s1, p. 107-127
Publisher:	Banca Monte dei Paschi di Siena SpA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008681401