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] and [Barndorff-Nielsen, O., Shephard, N.,...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/946 https://ink.library.smu.edu.sg/context/soe_research/article/1945/viewcontent/PhillipsYu.pdf |
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| Institution: | Singapore Management University |
| Language: | English |