Estimation of continuous-time stochastic volatility models with jumps using high-frequency data

DOI10.1016/J.JECONOM.2008.10.005zbMATH Open1429.62480OpenAlexW1977038444MaRDI QIDQ301970FDOQ301970

Authors: Viktor Todorov 

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

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zbMATH Keywords

jump processescontinuous-time stochastic volatility modelsmethod-of-moments estimationrealized multipower variation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

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Cited In (60)

• Confidence interval of the jump activity index based on empirical likelihood using high frequency data
• Limit theory for high frequency sampled MCARMA models
• Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
• Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
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• Intraday Periodic Volatility Curves
• Statistical inference for unified Garch-Itô models with high-frequency financial data
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• Inference theory for volatility functional dependencies
• Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach
• Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative
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• Econometric analysis of jump-driven stochastic volatility models

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