A two-stage realized volatility approach to estimation of diffusion processes with discrete data
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Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cites work
- scientific article; zbMATH DE number 1348627 (Why is no real title available?)
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- scientific article; zbMATH DE number 1432782 (Why is no real title available?)
- A Tale of Two Time Scales
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- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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- Estimation for diffusion processes from discrete observation
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- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Minimum contrast estimation in diffusion processes
- On contiguity of probability measures corresponding to semimartingales
- Quasi-likelihood estimation for semimartingales
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- The Structural Estimation of a Stochastic Differential Equation System
Cited in
(16)- On Gaussian HJM framework for Eurodollar futures
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- Random coefficient continuous systems: testing for extreme sample path behavior
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- New distribution theory for the estimation of structural break point in mean
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- Realized Laplace transforms for estimation of jump diffusive volatility models
- A regularized bridge sampler for sparsely sampled diffusions
- Estimation of the volatility persistence in a discretely observed diffusion model
- A two-step estimation of diffusion processes using noisy observations
- An Econometric Analysis of Volatility Discovery
- Quasi-maximum likelihood estimation of multivariate diffusions
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
- scientific article; zbMATH DE number 1810239 (Why is no real title available?)
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