The increasing availability of high-frequency asset return data has had a fundamental impacton empirical financial economics, focusing attention on asset return volatility and correlationdynamics, with key applications in portfolio and risk management. So-called "realized" volatilitiesand...

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...