A two-stage realized volatility approach to estimation of diffusion processes with discrete data
DOI10.1016/J.JECONOM.2008.12.006zbMATH Open1429.62369OpenAlexW2037174421MaRDI QIDQ302180FDOQ302180
Authors: Peter C. B. Phillips, Jun Yu 
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/278
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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)
Cites Work
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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
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- New distribution theory for the estimation of structural break point in mean
- 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
- An Econometric Analysis of Volatility Discovery
- A two-step estimation of diffusion processes using noisy observations
- Quasi-maximum likelihood estimation of multivariate diffusions
- Clustering of extreme events in time series generated by the fractional Ornstein-Uhlenbeck equation
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Title not available (Why is that?)
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