Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730)
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scientific article; zbMATH DE number 1891714
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| English | Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
scientific article; zbMATH DE number 1891714 |
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility (English)
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2 April 2003
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stochastic volatility diffusions
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integrated volatility
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quadratic variation
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realized volatility
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high-frequency data
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foreign exchange rates
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GMM estimation
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0.834393322467804
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0.823678195476532
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0.823546826839447
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0.8235465288162231
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