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

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  • J. Jimenez
  • R. Biscay
  • T. Ozaki

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  • J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
    • Handle: RePEc:kap:apfinm:v:12:y:2005:i:2:p:109-141
    DOI: 10.1007/s10690-006-9015-8
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    1. Sun, Libo & Lee, Chihoon & Hoeting, Jennifer A., 2015. "A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 84(C), pages 54-67.

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