Moment-based estimation of stochastic volatility |
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Authors: | Daniele Bregantini |
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Affiliation: | Department of Economics and Related Studies, University of York, York YO10 5DD, UK |
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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. |
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Keywords: | G1 C5 |
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