A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data

This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in [Jacod, J., 1994. Limit of random measures associated with t...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Maximum likelihood
Girsnov theorem
Discrete sampling
Continuous record
Realized volatility
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/278
https://ink.library.smu.edu.sg/context/soe_research/article/1277/viewcontent/YuJOE2009.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/278
https://ink.library.smu.edu.sg/context/soe_research/article/1277/viewcontent/YuJOE2009.pdf

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