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Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations
Author(s) -
Iacus Stefano M.,
Yoshida Nakahiro
Publication year - 2010
Publication title -
economic notes
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.274
H-Index - 19
eISSN - 1468-0300
pISSN - 0391-5026
DOI - 10.1111/j.1468-0300.2010.00224.x
Subject(s) - estimator , stochastic differential equation , ergodic theory , volatility (finance) , mathematics , stochastic volatility , monte carlo method , importance sampling , econometrics , statistical physics , mathematical optimization , mathematical analysis , statistics , physics
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.