Estimation of Continuous-Time Stochastic Volatility Models

George Dotsis, Raphael Markellos and Terence C. Mills

Chapter 19 in Palgrave Handbook of Econometrics, 2009, pp 951-971 from Palgrave Macmillan

Abstract: Abstract This chapter reviews some of the key issues involved in estimating continuous-time stochastic volatility models. Such models have become popular recently because they provide a rich variety of alternative specifications which often lead to closed or semi-closed solutions in a variety of asset-pricing applications. An empirical comparison of various stochastic volatility models is also undertaken, along with a discussion of some directions for future research.

Keywords: Markov Chain Monte Carlo; Option Price; Stochastic Volatility; Implied Volatility; Asset Return (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-24440-5_19

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DOI: 10.1057/9780230244405_19

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