Range‐Based Estimation of Stochastic Volatility Models
Top Cited Papers
- 1 June 2002
- journal article
- research article
- Published by Wiley in The Journal of Finance
- Vol. 57 (3) , 1047-1091
- https://doi.org/10.1111/1540-6261.00454
Abstract
No abstract availableKeywords
This publication has 45 references indexed in Scilit:
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial EconomicsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2001
- Estimation of affine asset pricing models using the empirical characteristic functionJournal of Econometrics, 2001
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian PerspectivesJournal of the Royal Statistical Society Series B: Statistical Methodology, 2000
- Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated VarianceThe Review of Economics and Statistics, 1999
- Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate ForecastsInternational Economic Review, 1998
- Estimation of stochastic volatility models with diagnosticsJournal of Econometrics, 1997
- GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)Journal of Econometrics, 1997
- Stochastic volatility in asset prices estimation with simulated maximum likelihoodJournal of Econometrics, 1994
- ReplyJournal of Business & Economic Statistics, 1994
- Heuristic Approach to the Kolmogorov-Smirnov TheoremsThe Annals of Mathematical Statistics, 1949