30 citations · 88 across the 10 of their papers we have counts for
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stat.ME2009★ 1 cited
Nonparametric methods for volatility density estimation
Bert van Es, Peter Spreij, Harry van Zanten
Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and re…
math.ST2009★ 6 cited
Multivariate Nonparametric Volatility Density Estimation
Bert van Es, Peter Spreij
We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of w…