Efficient estimation of drift parameters in stochastic volatility models
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Publication:2463719
DOI10.1007/s00780-007-0048-2zbMath1142.62089OpenAlexW2011551464MaRDI QIDQ2463719
Publication date: 16 December 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-007-0048-2
efficient estimatorrealized volatilitystochastic volatility modelmicrostructure noiseintegrated volatility
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)
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