Efficient estimation of drift parameters in stochastic volatility models
Author
Abstract
Suggested Citation
DOI: 10.1007/s00780-007-0048-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics," Econometrica, Econometric Society, vol. 72(3), pages 885-925, May.
- Peter C.B. Phillips & Jun Yu, 2005. "A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations," Cowles Foundation Discussion Papers 1523, Cowles Foundation for Research in Economics, Yale University.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Yoshida, Nakahiro, 1992. "Estimation for diffusion processes from discrete observation," Journal of Multivariate Analysis, Elsevier, vol. 41(2), pages 220-242, May.
- Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
- Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 419-438, December.
- Bollerslev, Tim & Zhou, Hao, 2002.
"Estimating stochastic volatility diffusion using conditional moments of integrated volatility,"
Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July.
- Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
- Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Arnaud Gloter, 2006. "Parameter Estimation for a Discretely Observed Integrated Diffusion Process," Post-Print hal-00404901, HAL.
- Arnaud Gloter, 2006. "Parameter Estimation for a Discretely Observed Integrated Diffusion Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(1), pages 83-104, March.
- Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Robert Azencott & Peng Ren & Ilya Timofeyev, 2020. "Realised volatility and parametric estimation of Heston SDEs," Finance and Stochastics, Springer, vol. 24(3), pages 723-755, July.
- Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2014. "Large Deviations Of The Realized (Co-)Volatility Vector," Working Papers hal-01082903, HAL.
- Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
- Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2017. "Large Deviations Of The Realized (Co-)Volatility Vector," Post-Print hal-01082903, HAL.
- Comte, F. & Lacour, C. & Rozenholc, Y., 2010. "Adaptive estimation of the dynamics of a discrete time stochastic volatility model," Journal of Econometrics, Elsevier, vol. 154(1), pages 59-73, January.
- F. Comte & V. Genon-Catalot & Y. Rozenholc, 2010. "Nonparametric estimation for a stochastic volatility model," Finance and Stochastics, Springer, vol. 14(1), pages 49-80, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011.
"Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael S. Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series 2004-56, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
- Robert Azencott & Yutheeka Gadhyan & Roland Glowinski, 2014. "Option Pricing Accuracy for Estimated Heston Models," Papers 1404.4014, arXiv.org, revised Jul 2015.
- Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021.
"Closed-form implied volatility surfaces for stochastic volatility models with jumps,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
- Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
- Zhenyu Cui & Anne MacKay & Marie-Claude Vachon, 2022. "Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation," Papers 2207.14793, arXiv.org.
- Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
- Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, Department of Economics and Business Economics, Aarhus University.
- Christensen, Kim & Thyrsgaard, Martin & Veliyev, Bezirgen, 2019. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," Journal of Econometrics, Elsevier, vol. 212(2), pages 556-583.
- Kim Christensen & Martin Thyrsgaard & Bezirgen Veliyev, 2018. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," CREATES Research Papers 2018-19, Department of Economics and Business Economics, Aarhus University.
- Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2018. "Statistical inferences for price staleness," SAFE Working Paper Series 236, Leibniz Institute for Financial Research SAFE.
- Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
- Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
- Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
- Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
- Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2020. "Statistical inferences for price staleness," Journal of Econometrics, Elsevier, vol. 218(1), pages 32-81.
- Salima El Kolei & Fabien Navarro, 2022. "Contrast estimation for noisy observations of diffusion processes via closed-form density expansions," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 303-336, July.
- Florescu, Ionuţ & Pãsãricã, Cristian Gabriel, 2009. "A study about the existence of the leverage effect in stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 419-432.
- Asai, Manabu & McAleer, Michael, 2015. "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
- Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
- Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
- Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MEDDAHI, Nour, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Universite de Montreal, Departement de sciences economiques.
- Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
More about this item
Keywords
Stochastic volatility model; Microstructure noise; Integrated volatility; Realized volatility; Efficient estimator; C13; C15; 62F12; 62M09;
All these keywords.JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:495-519. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.