Estimation of integrated volatility in stochastic volatility models
- 1 January 2005
- journal article
- research article
- Published by Wiley in Applied Stochastic Models in Business and Industry
- Vol. 21 (1) , 27-44
- https://doi.org/10.1002/asmb.548
Abstract
No abstract availableKeywords
All Related Versions
This publication has 23 references indexed in Scilit:
- Realized power variation and stochastic volatility modelsBernoulli, 2003
- Rolling-Sample Volatility EstimatorsJournal of Business & Economic Statistics, 2002
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility ModelsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2002
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial EconomicsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2001
- The distribution of realized stock return volatilityPublished by Elsevier ,2001
- Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate ForecastsInternational Economic Review, 1998
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- Nonlinear time-series analysis of stock volatilitiesJournal of Applied Econometrics, 1992
- Variational sums for additive processesProceedings of the American Mathematical Society, 1976
- Limit theorems for variational sumsTransactions of the American Mathematical Society, 1974