Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis

作者：Liu Nien Lin^*; Hoang Long Ngo

来源：Japan Journal of Industrial and Applied Mathematics, 2017, 34(3): 747-761.

DOI：10.1007/s13160-017-0266-8

• Fourier series
• Heston model
• Quadratic variation
• Spot cross volatility

In this paper we introduce some estimators for the eigenvalues of the spot cross volatility matrix of a multidimensional diffusion process. We establish limit theorems for the new estimators and study their numerical performance on a stochastic volatility model of Heston type.

• 出版日期2017-11