| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062622 | Economics Letters | 2006 | 6 Pages |
Abstract
This letter introduces nonparametric estimators of the drift and diffusion coefficient of stochastic volatility models which exploit techniques for estimating integrated volatility with high-frequency data. The performance of the proposed estimators is assessed on simulations of two popular stochastic volatility models.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Roberto Renò,