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dc.contributor.authorFéron, Olivier
dc.contributor.authorGruet, Pierre
dc.contributor.authorHoffman, Marc
dc.date.accessioned2019-04-16T12:20:05Z
dc.date.available2019-04-16T12:20:05Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18661
dc.language.isoenen
dc.subjectsemipara-metric efficient boundsen
dc.subjectDiscrete observationsen
dc.subjectHJM modelsen
dc.subjecttime-to-maturity factoren
dc.subjectFinancial statisticsen
dc.subjectnonparametric estimationen
dc.subjectElectricity market modellingen
dc.subject.ddc519en
dc.titleEfficient volatility estimation in a two-factor modelen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process and an exponential function of time to maturity. This exponential term includes some real parameter measuring the rate of increase of the second factor as time goes to maturity. From historical data, we efficiently estimate the time to maturity parameter in the sense of constructing an estimator that achieves an optimal information bound in a semiparametric setting. We also identify nonparametrically the paths of the volatility processes and achieve minimax bounds. We address the problem of degeneracy that occurs when the dimension of the process is greater than two, and give in particular optimal limit theorems under suitable regularity assumptions on the drift process. We consistently analyse the numerical behaviour of our estimators on simulated and real datasets of prices of forward contracts on electricity markets.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages27en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01966340en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-26T14:39:29Z
hal.person.labIds19229
hal.person.labIds
hal.person.labIds60


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