Open AccessModel-Based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Author(s) -
Charles S. Bos
Publication year - 2008
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.967303
Subject(s) - jump , stochastic volatility , econometrics , volatility (finance) , estimation , mathematics , jump diffusion , statistical physics , economics , physics , quantum mechanics , management
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom