A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA

DOI10.1142/S0219024904002773zbMath1099.91514MaRDI QIDQ4658676

Mascia Bedendo, Stewart D. Hodges

Publication date: 18 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

nonlinear filteringcontinuous time modelsHigh frequency data

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Processes that can be embedded in Brownian motion
• Markov chain Monte Carlo methods for stochastic volatility models.
• Time Changes for Lévy Processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Modeling and Forecasting Realized Volatility
• Estimation of affine asset pricing models using the empirical characteristic function

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