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Efficient estimation of drift parameters in stochastic volatility models

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  • Arnaud Gloter

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0048-2
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 11 (2007)
    Issue (Month): 4 (October)
    Pages: 495-519

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    Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:495-519

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Stochastic volatility model; Microstructure noise; Integrated volatility; Realized volatility; Efficient estimator; C13; C15; 62F12; 62M09;

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    References

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    1. Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation for Research in Economics, Yale University.
    2. Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
    3. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
    4. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    5. Arnaud Gloter, 2006. "Parameter Estimation for a Discretely Observed Integrated Diffusion Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 33(1), pages 83-104.
    6. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics," Econometrica, Econometric Society, vol. 72(3), pages 885-925, 05.
    7. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
    8. Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
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    Cited by:
    1. Comte, F. & Lacour, C. & Rozenholc, Y., 2010. "Adaptive estimation of the dynamics of a discrete time stochastic volatility model," Journal of Econometrics, Elsevier, vol. 154(1), pages 59-73, January.
    2. F. Comte & V. Genon-Catalot & Y. Rozenholc, 2010. "Nonparametric estimation for a stochastic volatility model," Finance and Stochastics, Springer, vol. 14(1), pages 49-80, January.

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