Estimating stochastic volatility diffusion using conditional moments of integrated volatility
type: Item
instance of: scholarly article
title: Estimating stochastic volatility diffusion using conditional moments of integrated volatility
zbMATH Open document ID: 1020.62096
DOI: 10.1016/S0304-4076(01)00141-5
author: Tim Bollerslev
author: Hao Zhou
published in: Journal of Econometrics
publication date: 2003-04-02T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1891714
zbMATH Keywords: stochastic volatility diffusions
zbMATH Keywords: integrated volatility
zbMATH Keywords: quadratic variation
zbMATH Keywords: realized volatility
zbMATH Keywords: high-frequency data
zbMATH Keywords: foreign exchange rates
zbMATH Keywords: GMM estimation
MaRDI profile type: Publication
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full work available at URL: s0304-4076(01)00141-5
OpenAlex ID: W2040646026
description: scientific article; zbMATH DE number 1891714