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Efficient estimation of drift parameters in stochastic volatility models
16 references·0 citing·31 second hopsampled
Efficient estimation of drift parameters in stochastic volatility models (2007)Efficient estimation of drift parameters …Maximum likelihood estimation of stochastic volatility models (2006)Maximum likelihood estimation…Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach (2006)Efficient estimation of stoch…Stochastic Volatility (2005)Stochastic VolatilityA Tale of Two Time Scales (2005)A Tale of Two Time ScalesEconometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Correcting the Errors: Volati…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…Estimating stochastic volatility diffusion using conditional moments of integrated volatility (2002)Estimating stochastic volatil…Estimation of an Ergodic Diffusion from Discrete Observations (1997)Estimation of an Ergodic Diff…5 Stochastic volatility (1996)5 Stochastic volatilityQuasi-maximum likelihood estimation of stochastic volatility models (1994)Quasi-maximum likelihood esti…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Estimation for diffusion processes from discrete observation (1992)Estimation for diffusion proc…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…The Behavior of Stock-Market Prices (1965)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Measuring and Testing the Impact of News on Volatility (1993)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Volatility forecast comparison using imperfect volatility proxies (2010)Brownian Motion and Stochastic Calculus (2007)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)The Econometrics of Financial Markets (2012)The arbitrage theory of capital asset pricing (1976)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Limit Theorems for Stochastic Processes (2003)Microstructure noise in the continuous case: The pre-averaging approach (2008)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2003)Variance Risk Premiums (2008)Testing for jumps in a discretely observed process (2009)Modeling financial contagion using mutually exciting jump processes (2015)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 19965 Stochastic volatility1,189 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
  • 1997Estimation of an Ergodic Diffusion from Discrete Observations371 cited
  • 2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility318 cited
  • 2004Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities316 cited
  • 1994Quasi-maximum likelihood estimation of stochastic volatility models

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313 cited
  • 2005Stochastic Volatility264 cited
  • 1992Estimation for diffusion processes from discrete observation263 cited
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