A two-stage realized volatility approach to the estimation for diffusion processes from discrete observations
This paper motivates and introduces a two-stage method for 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 recently developed in Barndorff-Nielsen and Shephard (2002), to provide...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2048 https://ink.library.smu.edu.sg/context/soe_research/article/3047/viewcontent/SSRN_id757986.pdf |
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| Institution: | Singapore Management University |
| Language: | English |