A two-stage realized volatility approach to estimation of diffusion processes with discrete data
نویسندگان
چکیده
منابع مشابه
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in [Jacod, J., 1994. Limit of random measures associated with the increments of a Brownian semiartingal. Working paper, Laboratoire de Probabilities, Universite...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2009
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2008.12.006