Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Journal of Econometrics

Volumn 109, Issue 1, 2002, Pages 33-65

  Bollerslev, Tim ^a   Zhou, Hao ^b  

^a DUKE UNIVERSITY   (United States)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

Foreign exchange rates; GMM estimation; High frequency data; Integrated volatility; Quadratic variation; Realized volatility; Stochastic volatility diffusions

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; ECONOMICS; METHOD OF MOMENTS; POISSON DISTRIBUTION; STOCHASTIC PROGRAMMING;

HIGH FREQUENCY DATA; INTEGRATED VOLATILITY;

DATA STRUCTURES;

EID: 0142013411     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00141-5     Document Type: Article

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