# Nonparametric methods for volatility density estimation

@inproceedings{Es2009NonparametricMF, title={Nonparametric methods for volatility density estimation}, author={Bert van Es and Peter Spreij and Harry van Zanten}, year={2009} }

Stochastic volatility modeling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the density of the volatility process. Both models based on discretely sampled continuous-time processes and discrete-time models will be discussed.

## 3 Citations

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