A two-stage realized volatility approach to estimation of diffusion processes with discrete data
type: Item
instance of: scholarly article
title: A two-stage realized volatility approach to estimation of diffusion processes with discrete data
zbMATH Open document ID: 1429.62369
author: Peter C. B. Phillips
author: Jun Yu
published in: Journal of Econometrics
publication date: 2016-07-04T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/soe_research/278
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6600707
zbMATH Keywords: maximum likelihood
zbMATH Keywords: Girsanov theorem
zbMATH Keywords: discrete sampling
zbMATH Keywords: continuous record
zbMATH Keywords: realized volatility
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2037174421
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DOI: 10.1016/J.JECONOM.2008.12.006
description: scientific article; zbMATH DE number 6600707