Show simple item record Bollerslev, T Zhou, H 2010-03-09T15:29:10Z 2002-07-01
dc.identifier.citation Journal of Econometrics, 2002, 109 (1), pp. 33 - 65
dc.identifier.issn 0304-4076
dc.description.abstract We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.
dc.format.extent 33 - 65
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.relation.isversionof 10.1016/S0304-4076(01)00141-5
dc.title Estimating stochastic volatility diffusion using conditional moments of integrated volatility
dc.type Journal Article
dc.department Economics
pubs.issue 1
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 109

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