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Estimation of Continuous-Time Stochastic Volatility Models

In: Palgrave Handbook of Econometrics


  • George Dotsis
  • Raphael N. Markellos
  • Terence C. Mills


This chapter reviews some of the key issues involved in estimating continuous-time stochastic volatility models. Such models have become popular recently because they provide a rich variety of alternative specifications which often lead to closed or semi-closed solutions in a variety of asset-pricing applications. An empirical comparison of various stochastic volatility models is also undertaken, along with a discussion of some directions for future research.

Suggested Citation

  • George Dotsis & Raphael N. Markellos & Terence C. Mills, 2009. "Estimation of Continuous-Time Stochastic Volatility Models," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 19, pages 951-971, Palgrave Macmillan.
  • Handle: RePEc:pal:palchp:978-0-230-24440-5_19
    DOI: 10.1057/9780230244405_19

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