Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods
نویسندگان
چکیده
منابع مشابه
Estimation of Continuous-Time Stochastic Volatility Models with Jumps using High-Frequency Data∗
This paper proposes a method of inference for general stochastic volatility models containing price jumps. The estimation is based on treating realized multipower variation statistics calculated from high-frequency data as their unobservable (fill-in) asymptotic limits. The paper provides easy-to-check conditions under which the error in estimation resulting from this approximation is op(1) and...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2551807