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Moment-based estimation of stochastic volatility |
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| Authors: | Daniele Bregantini |
| Institution: | Department of Economics and Related Studies, University of York, York YO10 5DD, UK |
| Abstract: | This paper makes use of the distributional information contained in high-frequency data to test for the specification of the functional form of the volatility process within the class of stochastic volatility models. |
| Keywords: | G1 C5 |
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