Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
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Publication:301970
DOI10.1016/j.jeconom.2008.10.005zbMath1429.62480OpenAlexW1977038444MaRDI QIDQ301970
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.005
jump processescontinuous-time stochastic volatility modelsmethod-of-moments estimationrealized multipower variation
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)
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