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Moment-based estimation of stochastic volatility

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  • Bregantini, Daniele

Abstract

This paper makes use of the distributional information contained in high-frequency data to test for the specification of the functional form of the volatility process within the class of stochastic volatility models.

Suggested Citation

  • Bregantini, Daniele, 2013. "Moment-based estimation of stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4755-4764.
    • Handle: RePEc:eee:jbfina:v:37:y:2013:i:12:p:4755-4764
    DOI: 10.1016/j.jbankfin.2013.08.008
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    References listed on IDEAS

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    6. Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric, 2011. "Estimation of objective and risk-neutral distributions based on moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 22-32, January.
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    3. KiHoon Jimmy Hong & Eliza Wu, 2014. "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series 346, Quantitative Finance Research Centre, University of Technology, Sydney.

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    More about this item

    Keywords

    Stochastic volatility; Realised volatility; Jumps;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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