Kellogg School of Management

Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.
JSTOR Daily

Linear-Representation Based Estimation of Stochastic Volatility Models

A new way of estimating stochastic volatility models is developed. The method is based on the existence of autoregressive moving average (ARMA) representations for powers of the log-squared ...
Kellogg School of Management

Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data

Citations: Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 131-148.
Nature

Stochastic Volatility in Financial Markets

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...