Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
From MaRDI portal
Publication:301970
DOI10.1016/j.jeconom.2008.10.005zbMath1429.62480MaRDI QIDQ301970
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.005
jump processes; continuous-time stochastic volatility models; method-of-moments estimation; realized multipower variation
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
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