Estimating stochastic volatility diffusion using conditional moments of integrated volatility

DOI10.1016/S0304-4076(01)00141-5zbMath1020.62096OpenAlexW2040646026MaRDI QIDQ1867730

Hao Zhou, Tim Bollerslev

Publication date: 2 April 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00141-5

zbMATH Keywords

foreign exchange rateshigh-frequency dataquadratic variationrealized volatilityintegrated volatilityGMM estimationstochastic volatility diffusions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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