This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in Jacod (1994) and Barndorff-Nielsen and Shephard (2002),...

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in Onite dis- crete samples and in large in-Oll samples. In this paper, we obtain two expressions to approximate the bias of the least...