Similar Search Results

Approximate Maximum Likelihood Estimates for Stock and Index Returns with Stochastic Volatility, Stochastic Jump Intensity, and Infinite-Activity Jumps

Wilson, David - 2018

The Bates (2006) Approximate Maximum Likelihood (AML) method is considered from a practical point of view. Application of the AML method is undertaken using FFT with splines for integration. Results are validated by both simulation and comparison to MCMC literature. The SVJ model is estimated...

Persistent link: https://www.econbiz.de/10012932241

Volatility analysis with realized GARCH-Itô models

Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410

Persistent link: https://www.econbiz.de/10012619433

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

Santa-Clara, Pedro; Brandt, Michael W. - 2021

We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...

Persistent link: https://www.econbiz.de/10013235636

Consistent estimation of drift parameter in diffusion model with misspecified volatility function

Jeong, Minsoo - In: Economics letters 211 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013172040

GARCH models without positivity constraints : exponential or log GARCH?

Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46

Persistent link: https://www.econbiz.de/10010189881

Maximum Likelihood Estimation of Stochastic Volatility Models

Ait-Sahalia, Yacine - 2004

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

Persistent link: https://www.econbiz.de/10012468114