We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically …-maximum likelihood estimation produces simple and highly efficient estimates of stochastic volatility models and extractions of latent …

The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question …. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact … estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate …