A two-stage realized volatility approach to estimation of diffusion processes with discrete data
From MaRDI portal
Publication:302180
DOI10.1016/j.jeconom.2008.12.006zbMath1429.62369OpenAlexW2037174421MaRDI QIDQ302180
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/278
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
Related Items (11)
Quasi-maximum likelihood estimation of multivariate diffusions ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH ⋮ Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ Quasi‐maximum likelihood estimation of discretely observed diffusions ⋮ New distribution theory for the estimation of structural break point in mean ⋮ A regularized bridge sampler for sparsely sampled diffusions ⋮ Empirical \(L^2\)-distance test statistics for ergodic diffusions ⋮ On Gaussian HJM framework for Eurodollar Futures ⋮ ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- On contiguity of probability measures corresponding to semimartingales
- Estimation for diffusion processes from discrete observation
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Realized power variation and stochastic volatility models
- Quasi-likelihood estimation for semimartingales
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Limit theorems for multipower variation in the presence of jumps
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- A Theory of the Term Structure of Interest Rates
- LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
- Approximate discrete-time schemes for statistics of diffusion processes
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Minimum contrast estimation in diffusion processes
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- The Lindeberg-Levy Theorem for Martingales
- An equilibrium characterization of the term structure
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- The Structural Estimation of a Stochastic Differential Equation System
- A Tale of Two Time Scales
This page was built for publication: A two-stage realized volatility approach to estimation of diffusion processes with discrete data
