A two-stage realized volatility approach to estimation of diffusion processes with discrete data

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 139-150

  Phillips, Peter C B ^a,b,c,d   Yu, Jun ^d  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

^d SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Continuous record; Discrete sampling; Girsanov theorem; Maximum likelihood; Realized volatility

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; CENTRAL LIMIT THEORIES; CLOSED-FORM APPROXIMATIONS; CONTINUOUS RECORD; DIFFUSION FUNCTIONS; DIFFUSION PROCESS; DISCRETE DATUM; DISCRETE SAMPLING; DRIFT FUNCTIONS; ECONOMETRIC ANALYSIS; FINITE SAMPLE PERFORMANCE; GIRSANOV THEOREM; LIKELIHOOD FUNCTIONS; MAXIMUM LIKELIHOOD METHODS; NIELSEN; RANDOM MEASURES; REALIZED VOLATILITY; REGRESSION MODELS; STOCHASTIC VOLATILITY MODELS; TWO STAGES; TWO-STAGE METHODS;

BLOCK CODES; DIFFUSION; DISTRIBUTION FUNCTIONS; ECONOMIC ANALYSIS; NEURAL NETWORKS; PARAMETER ESTIMATION; REGRESSION ANALYSIS; STOCHASTIC MODELS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 67349134222     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.006     Document Type: Article

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