Estimating stochastic volatility diffusion using conditional moments of integrated volatility

By Tim Bollerslev, Hao Zhou. 2002

68 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e3e739766d4cb9ece49e4f8ff7bab80e9a034d05

Citations in the corpus

• Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach (2007, unknown): “…process is a latent variable, not observed by the econometrician, previous work on this have based the estimation of volatility models on the raw return data itself (Andersen and Lund, 1997; Chib et al, 2002) or the realised integrated volatility (Andersen et al, 2003; Bollerslev and Zhou, 2002).”
• Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005, unknown): “Bollerslev and Zhou (2002) have found similar results using a shorter span of this type of exchange rate data.”
• Variation, jumps, market frictions and high frequency data in financial econometrics (2005, unknown): “The first papers to do this were Barndorff-Nielsen and Shephard (2002) and Bollerslev and Zhou (2002), who studied the first two dynamic moments of the time series V̂1, V̂2, ..., V̂T implied by various common volatility models and used these to estimate the parameters embedded within the SV models.”
• A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects (2009, unknown): “28High-frequency data based nonparametric realized volatility measures have previously been used in the estimation of parametric continuous time stochastic volatility models by Barndorff-Nielsen and Shephard (2002a) and Bollerslev and Zhou (2002).”
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008, unknown): “A third example is the realized volatility of financial econometrics, see e.g. Bollerslev & Zhou (2002).”
• A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures (2007, unknown): “For instance, in the square-root affine, or Heston, diffusion model, the conditional variance of the future instantaneous variance is an affine function of the current instantaneous variance and the current instantaneous variance squared; see, e.g., Bollerslev and Zhou (2002) .”
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (2013, unknown): “See also Bollerslev and Zhou (2002) and Meddahi (2003), who utilized similar restrictions in the context of continuous time volatility models.”
• Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (2011, unknown): “We use the parameter values estimated by Bollerslev and Zhou (2002) in an empirical study of foreign exchange rate volatility.”