A two-stage realized volatility approach to the estimation for diffusion processes from discrete observations

• المؤلفون الرئيسيون: PHILLIPS, Peter C. B., YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2005
• الموضوعات: Maximum likelihood; Girsnov theorem; Discrete sampling; Continuous record; Realized volatility; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2048; https://ink.library.smu.edu.sg/context/soe_research/article/3047/viewcontent/SSRN_id757986.pdf

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...