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

  • J. Jimenez

    ()

  • R. Biscay

    ()

  • T. Ozaki

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-006-9015-8
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    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
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    3. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
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    6. Neil Shephard & Ola Elerian & Siddhartha Chib, 1998. "Likelihood inference for discretely observed non-linear diffusions," Economics Series Working Papers 1998-W10, University of Oxford, Department of Economics.
    7. Tauchen, George E. & Gallant, A. Ronald, 1995. "Estimation of Continuous Time Models for Stock Returns and Interest Rates," Working Papers 95-53, Duke University, Department of Economics.
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    10. Mathieu Kessler, 2000. "Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(1), pages 65-82.
    11. Alois L. J. Geyer & Stefan Pichler, 1999. "A State-Space Approach To Estimate And Test Multifactor Cox-Ingersoll-Ross Models Of The Term Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 107-130, 03.
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