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Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview

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  • J. Jimenez

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  • R. Biscay

    ()

  • T. Ozaki

    ()

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    File URL: http://hdl.handle.net/10.1007/s10690-006-9015-8
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 12 (2005)
    Issue (Month): 2 (June)
    Pages: 109-141

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    Handle: RePEc:kap:apfinm:v:12:y:2005:i:2:p:109-141

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: stochastic volatility models; diffusion processes; inference methods;

    References

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    9. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
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    12. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
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    21. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
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    24. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    25. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
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    28. Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
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