NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS

By Roberto Renò. Econometric Theory, 2008

51 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/dffc10cd026ea98e706999a3e6eb87b3f3b24023

Citations in the corpus

• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013, unknown): “See Renò (2008) and Kristensen (2010) for alternative estimators of spot volatility.”