Showing 1 - 2 of 2
estimators. The latter retains the good asymptotic properties of ML estimation while removing finite sample bias. This method …
Persistent link: https://www.econbiz.de/10009365186
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),...
Persistent link: https://www.econbiz.de/10009365479