Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...
For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation 〈X, X〉t is constructed based on observations in the vicinity of Xt. The problem is ...
Citations: Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 131-148.
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