observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in Jacod … used to estimate the parameters in the drift function. Consistency and asymptotic distribution theory for these estimates …

proposed for the continuous system estimation, the asymptotic theory is developed, and test statistics to identify the … data that differ from typical unit root behaviour. The theory is extended to cover models where the random persistence …

reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation … bias when standard methods like maximum likelihood (ML) are used. The estimation bias can be substantial even in very large … error. Our findings indicate that bias correction in estimation of the drift can be more important in pricing bond options …

observations. In the first stage we make use of the feasible central limit theory for realized volatility, as recently developed in … parameters in the drift function. Consistency and asymptotic distribution theory for these estimates are established in various …