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Efficient volatility estimation in a two-factor model

hal.structure.identifierLaboratoire des Composites Thermostructuraux [LCTS]
dc.contributor.authorFéron, Olivier
dc.contributor.authorGruet, Pierre
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorHoffmann, Marc
dc.date.accessioned2019-04-16T12:20:05Z
dc.date.available2019-04-16T12:20:05Z
dc.date.issued2020
dc.identifier.issn0303-6898
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18661
dc.language.isoenen
dc.subjectsemipara-metric efficient bounds
dc.subjectDiscrete observations
dc.subjectHJM models
dc.subjecttime-to-maturity factor
dc.subjectFinancial statistics
dc.subjectnonparametric estimation
dc.subjectElectricity market modelling
dc.subject.ddc519en
dc.titleEfficient volatility estimation in a two-factor model
dc.typeArticle accepté pour publication ou publié
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. Mathematics Subject Classification (2010): 62M86, 60J75, 60G35, 60F05.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameScandinavian Journal of Statistics
dc.relation.isversionofjnlvol47
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2020
dc.relation.isversionofjnlpages862-898
dc.relation.isversionofdoi10.1111/sjos.12431
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
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dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2023-02-21T15:07:36Z
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