A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the (unobserved) instantaneous volatility process using the estimator of Kristensen (2010, Econometric Theory 26). In the second step, standard estimation methods for fully observed diffusion...

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed diffusion processes are employed, but with the...

This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium. We formulate tests of (i) the conditional choice probabilities, (ii) the steady-state distribution of states and (iii) the conditional...