Moment-based estimation of stochastic volatility

Daniele Bregantini

Journal of Banking & Finance, 2013, vol. 37, issue 12, 4755-4764

Abstract: This paper makes use of the distributional information contained in high-frequency data to test for the specification of the functional form of the volatility process within the class of stochastic volatility models.

Keywords: Stochastic volatility; Realised volatility; Jumps (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:12:p:4755-4764

DOI: 10.1016/j.jbankfin.2013.08.008

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