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Efficient estimation of drift parameters in stochastic volatility models

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Author Info
Arnaud Gloter ()
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File URL: http://hdl.handle.net/10.1007/s00780-007-0048-2
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Publisher 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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Related research
Keywords: Stochastic volatility model; Microstructure noise; Integrated volatility; Realized volatility; Efficient estimator; C13; C15; 62F12; 62M09;

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References listed on IDEAS
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  1. Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
  5. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July. [Downloadable!] (restricted)
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  6. 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, Yale University. [Downloadable!]
  7. 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 and Swedish Statistical Association, vol. 33(1), pages 83-104. [Downloadable!] (restricted)
  8. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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