Efficient estimation of drift parameters in stochastic volatility models
| Year of publication: |
2007
|
|---|---|
| Authors: | Gloter, Arnaud |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 4, p. 495-519
|
| Publisher: |
Springer |
| Subject: | Stochastic volatility model | Microstructure noise | Integrated volatility | Realized volatility | Efficient estimator |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005390660