GE Tauchen… - Econometrica: Journal of the Econometric Society, 1983 - JSTOR
Page 1. Econometrica, Vol. 51, No. 2 (March, 1983) THE PRICE VARIABILITY-VOLUME
RELATIONSHIP ON SPECULATIVE MARKETS BY GEORGE E. TAUCHEN AND MARK
PITTS' This paper concerns the relationship between ...
AR Gallant,
PE Rossi… - Review of Financial …, 1992 - Soc Financial Studies
Abstract We undertake a comprehensive investigation of price and volume co-movement
using daily New York Stock Exchange data from 1928 to 1987. We adjust the data to take
into account well-known calendar effects and long-run trends. To describe the process, we ...
AR Gallant… - Econometric Theory, 1996 - Cambridge Univ Press
We describe an intuitive, simple, and systematic approach to generating moment conditions
for generalized method of moments (GMM) estimation of the parameters of a structural
model. The idea is to use the score of a density that has an analytic expression to define ...
G Tauchen - Economics letters, 1986 - Elsevier
Abstract The paper develops a procedure for finding a discrete-valued Markov chain whose
sample paths approximate well those of a vector autoregression. The procedure has
applications in those areas of economics, finance, and econometrics where approximate ...
G Tauchen… - Econometrica: Journal of the Econometric Society, 1991 - JSTOR
The paper develops a discrete state space solution method for a class of nonlinear rational
expectations models. The method works by using numerical quadrature rules to
approximate the integral operators that arise in stochastic intertemporal models. The ...
M Chernov, A Ronald Gallant, E Ghysels… - Journal of …, 2003 - Elsevier
This paper evaluates the role of various volatility specifications, such as multiple stochastic
volatility (SV) factors and jump components, in appropriate modeling of equity return
distributions. We use estimation technology that facilitates nonnested model comparisons ...
AR Gallant… - Econometrica: Journal of the Econometric Society, 1989 - JSTOR
The overidentifying restrictions of the intertemporal capital asset pricing model are usually
rejected when tested using data on consumption growth and asset returns, particularly when
additively separable, constant relative risk utility is attributed to the representative agent. ...
X Huang… - Journal of financial econometrics, 2005 - Oxford Univ Press
Abstract We examine tests for jumps based on recent asymptotic results; we interpret the
tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic
has appropriate size, good power, and good jump detection capabilities revealed by the ...
PJ Cook… - The Bell Journal of Economics, 1982 - JSTOR
In this article we present the strongest evidence to date that chronic heavy drinkers'
consumption is responsive to changes in the price of liquor. We estimate that an increase in
the liquor excise tax by one dollar (1967 prices) per proof gallon reduces the liver cirrhosis ...
AR Gallant,
PE Rossi… - Econometrica: Journal of the …, 1993 - JSTOR
The paper develops an approach for analyzing the dynamics of a nonlinear time series that
is represented by a nonparametric estimate of its one-step ahead conditional density. The
approach entails examination of conditional moment profiles corresponding to certain ...
G Tauchen - Journal of Business & Economic Statistics, 1986 - JSTOR
The article examines the properties of generalized method of moments GMM estimators of
utility function parameters. The research strategy is to apply the GMM procedure to
generated data on asset returns from stochastic exchange economies; discrete methods ...
G Tauchen - Journal of Econometrics, 1985 - Elsevier
Abstract The paper develops a unified theory of likelihood specification testing based on M-
estimators of auxiliary parameters. The theory is sufficiently general to encompass a wide
class of specification tests including moment-based tests, Pearson-type goodness of fit ...
AR Gallant, D Hsieh… - Journal of Econometrics, 1997 - Elsevier
Efficient method of moments (EMM) is used to fit the standard stochastic volatility model of
various extensions to several daily financial time series. EMM matches to the score of the
model determined by data analysis called the score generator. Discrepancies reveal ...
AR Gallant… - Journal of the American Statistical Association, 1998 - JSTOR
We introduce reprojection as a general purpose technique for characterizing the dynamic
response of a partially observed nonlinear system to its observable history. Reprojection is
the third step of a procedure wherein first data are summarized by projection onto a ...
AR Gallant, DA Hsieh… - … semiparametric methods in …, 1991 - books.google.com
Page 215. CHAPTER 8 On fitting a recalcitrant series: The pound/dollar exchange rate,
1974-1983 A. Ronald Gallant, David A. Hsieh, and George E. Tauchen 1 Introduction Two
well-known facts are characteristic of short-term price movements on financial markets. ...
AR Gallant, CT Hsu… - Review of Economics and Statistics, 1999 - MIT Press
Acommon model for security price dynamics is the continuous-time stochastic volatility
model. For this model, Hull and White (1987) show that the price of a derivative claim is the
conditional expectation of the Black-Scholes price with the forward integrated variance ...
T Bollerslev, G Tauchen… - Review of Financial …, 2009 - Soc Financial Studies
Abstract Motivated by the implications from a stylized self-contained general equilibrium
model incorporating the effects of time-varying economic uncertainty, we show that the
difference between implied and realized variation, or the variance risk premium, is able to ...
PJ Cook… - J. Legal Stud., 1984 - HeinOnline
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G Tauchen - 1998 - papers.ssrn.com
Abstract: The paper reviews recently developed simulation-based minimum chi-square
estimators for structural models. Particular attention is paid to selection of the auxiliary model
that defines the GMM-type criterion used in the minimum chi-square estimation. ...
AR Gallant, LP Hansen… - Journal of Econometrics, 1990 - Elsevier
Abstract Previously Hansen and Jagannathan (1990a) derived and computed mean-
standard deviation frontiers for intertemporal marginal rates of substitution (IMRS) implied by
asset market data. These frontiers give the lower bounds on the standard deviations as a ...
R Bansal, AR Gallant, R Hussey… - Journal of Econometrics, 1995 - Elsevier
Empirical modeling of high-frequency currency market data reveals substantial evidence for
nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether
an equilibrium monetary model can account for nonlinearities in weekly data. The model ...
AR Gallant… - Macroeconomic Dynamics, 1997 - Cambridge Univ Press
Efficient Method of Moments is used to estimate and test continuous-time diffusion models
for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with
one state observed can account for the dynamics of the daily return on the S&P Composite ...
T Bollerslev, J Litvinova… - Journal of Financial …, 2006 - Oxford Univ Press
Abstract We examine the relationship between volatility and past and future returns using
high-frequency aggregate equity index data. Consistent with a prolonged “leverage” effect,
we find the correlations between absolute high-frequency returns and current and past ...
T Bollerslev, U Kretschmer, C Pigorsch… - Journal of …, 2009 - Elsevier
We develop an empirically highly accurate discrete-time daily stochastic volatility model that
explicitly distinguishes between the jump and continuous-time components of price
movements using nonparametric realized variation and Bipower variation measures ...
G Tauchen, H Zhang… - Journal of Econometrics, 1996 - Elsevier
This paper uses dynamic impulse response analysis to investigate the interrelationships
among stock price volatility, trading volume, and the leverage effect. Dynamic impulse
response analysis is a technique for analyzing the multi-step-ahead characteristics of a ...
G Tauchen - 2004 - papers.ssrn.com
Abstract: The connections between stock market volatility and returns are studied within the
context of a general equilibrium framework. The framework rules out it a priori any purely
statistical relationship between volatility and returns by imposing uncorrelated innovations ...
R Bansal, G Tauchen… - Journal of Business and …, 2004 - Taylor & Francis
Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with the R 2's being around 30%. The projection coefficients
in these regressions exhibit a distinct pattern that relates to the maturity of the forward rate. ...
G Tauchen, H Zhou - Journal of Econometrics, 2011 - Elsevier
This paper extends the jump detection method based on bipower variation to identify
realized jumps on financial markets and to estimate parametrically the jump intensity, mean,
and variance. Finite sample evidence suggests that the jump parameters can be ...
T Bollerslev, TH Law… - Journal of Econometrics, 2008 - Elsevier
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns
and an equiweighted index constructed from the same stocks. Using a new test for common
jumps that explicitly utilizes the cross-covariance structure in the returns to identify non- ...
M Chernov, A Gallant, E Ghysels… - 1999 - papers.ssrn.com
Abstract: The purpose of this paper is to propose a new class of jump diffusions which
feature both stochastic volatility and random intensity jumps. Previous studies have focused
primarily on pure jump processes with constant intensity and log-normal jumps or constant ...
A Ronald Gallant… - Journal of Econometrics, 1999 - Elsevier
The asymptotic relative efficiency of efficient method of moments when implemented with a
seminonparametric auxiliary model is compared to that of conventional method of moments
when implemented with polynomial moment functions. Because the expectations required ...
R Bansal, AR Gallant… - Review of Economic …, 2007 - Wiley Online Library
The paper estimates and examines the empirical plausibility of asset pricing models that
attempt to explain features of financial markets such as the size of the equity premium and
the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal ...
G Tauchen - Journal of Business & Economic Statistics, 1990 - JSTOR
This article presents a solution algorithm for the capital growth model. The algorithm uses
value-function iterations on a discrete state space. The quadrature method is used to set the
grid for the exogenous process, and a simple equispaced scheme in logarithms is used to ...
V Todorov… - Journal of Business and Economic Statistics, 2011 - ASA
The article undertakes a nonparametric analysis of the high-frequency movements in stock
market volatility using very finely sampled data on the VIX volatility index compiled from
options data by the CBOE. We derive theoretically the link between pathwise properties of ...
T Bollerslev, N Sizova… - Review of Finance, 2012 - rpproxy.iii.com
Abstract Stock market volatility clusters in time, appears fractionally integrated, carries a risk
premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk
premium, defined by the difference between the risk-neutral and objective expectations of ...
G Tauchen, H Zhou - Manuscript, Duke University, 2005 - cfrn.cn
Abstract This paper extends the jump detection method based on bi-power variation and
swap variance measures to identify realized jumps on financial markets and to estimate
parametrically the jump intensity, mean, and variance. Such an approach does not require ...
[CITATION] Computational aspects of nonparametric simulation estimation
R Bansal, AR Gallant… - Computational …, 1993 - Academic Publishers Boston, MA
V Todorov… - Journal of Business and Economic …, 2006 - Taylor & Francis
We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy
processes for stochastic volatility. We write the price and volatility processes as integrals
against a vector Lévy process, which makes series approximation methods directly ...
V Todorov… - Journal of Econometrics, 2010 - Elsevier
We define a new concept termed activity signature function, which is constructed from
discrete observations of a continuous-time process, and derive its asymptotic properties as
the sampling frequency increases. We show that the function is a useful device for ...
WA Barnett, J Powell… - 1991 - books.google.com
... AND SEMIPARAMETRIC METHODS IN ECONOMETRICS AND STATISTICS PROCEEDINGS
OF THE FIFTH INTERNATIONAL SYMPOSIUM IN ECONOMIC THEORY AND ECONOMETRICS
EDITED BY WILLIAM A. BARNETT JAMES POWELL & GEORGE TAUCHEN Page 2. ...
CS Chung… - Journal of Business and Economic Statistics, 2001 - ASA
The objectives of this article are threefold-(1) to test target-zone models using more efficient
and direct econometric methodology than previous research,(2) to identify an implicit band, if
it exists, from observed data and to test target-zone models based on the estimated ...
G Tauchen - Journal of Empirical Finance, 2001 - Elsevier
The pure expectations theory of unbiased forward exchange rates predicts that the slope
coefficient in a regression of the change in the spot rate on the difference between the
current forward and spot rates should equal unity. In the recent empirical work by Fama, ...
G Tauchen - Review of Economics and Statistics, 1998 - MIT Press
The paper examines the role of stability constraints in estimation by dynamic simulation. In
particular, it analyzes the behavior of the objective function on either side of the boundary of
the stability region of the parameter space. The main finding is that stability constraints ...
R Bansal, R Gallant… - Manuscript, Fuqua School of Business, …, 2004 - lse.ac.uk
Abstract The paper examines two asset pricing models that attempt to explain features of
financial markets such as the size of the equity premium and the volatility of the stock market.
One model, based on Bansal and Yaron (2002), relies on low frequency movements in ...
G Tauchen - Journal of Econometrics, 2001 - Elsevier
The first part of the discussion reviews recent successes in modeling of discrete time
financial data and argues that a direct approach is better suited than stochastic volatility. The
second part reviews recent work on estimating continuous time models with emphasis on ...
GE Tauchen - The Journal of Political Economy, 1981 - JSTOR
Page 1. Some Evidence on Cross-Sector Effects of the Minimum Wage George E.
Tauchen Duke University This paper tests Mincer's minimum-wage model by
estimating reduced-form wage and employment equations for both ...
A Gallant, G Tauchen - 1997 - papers.ssrn.com
Abstract: The paper describes the use of the Gallant-Tauchen efficient method of moments
(EMM) technique for diagnostic checking of stochastic differential equations (SDEs)
estimated from financial market data. The EMM technique is a simulation-based method ...
V Todorov… - Journal of Business and Economic …, 2004 - econ.duke.edu
We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy
processes for stochastic volatility. We write the price and volatility processes as integrals
against a vector Lévy process, which then makes series approximation methods directly ...
[CITATION] The Dynamics of Domestic Violence: A Reanalysis of the Minneapolis Experiment
GE Tauchen, H Tauchen, AD Witte… - 1986 - Department of Economics, Wellesley …
MK Salemi… - The American Economic Review, 1980 - JSTOR
Page 1. Guessing and the Error Structure of Learning Models By MICHAEL K. SALEMI AND
GEORGE E. TAUCHEN* This paper is broadly concerned with problems associated with the
use of test score data to infer the relative strength of inputs to the production of learning. ...
[CITATION] Simultaneous nonlinear learning models
MK Salemi… - Econometric modeling in …, 1987 - Kluwer-Nijhoff Boston
[CITATION] Risk, jumps
T Bollerslev, TH Law… - 2007 - and diversification. Working paper, …
V Todorov… - 2009 - papers.ssrn.com
Abstract We introduce a new measure constructed from high-frequency financial data which
we call the Realized Laplace Transform of volatility. The statistic provides a nonparametric
estimate for the empirical Laplace transform of the latent stochastic volatility process over ...
Abstract: We examine the relationship between volatility and past and future returns in high-
frequency equity market data. Consistent with a prolonged leverage effect, we find the
correlations between absolute high-frequency returns and current and past high- ...
V Todorov, G Tauchen… - Journal of Econometrics, 2011 - Elsevier
We develop an efficient and analytically tractable method for estimation of parametric
volatility models that is robust to price-level jumps. The method entails first integrating intra-
day data into the Realized Laplace Transform of volatility, which is a model-free estimate ...
[CITATION] Volatility jumps
G Tauchen… - 2008 - working paper
T Bollerslev, R Gallant, C Pigorsch… - Unpublished …, 2006 - stat.uni-muenchen.de
... Tim Bollerslev (Duke University) Ron Gallant (Duke University) Christian Pigorsch(University
of Munich) Uta Pigorsch (University of Bonn) George Tauchen (Duke University) Workshop on
Statistical Modelling of Complex Systems SFB 386 October 12, 2006 Page 2. ...
E Ghysels, G Tauchen - Journal of Econometrics, 2003 - Elsevier
The papers in this volume represent the most recent advances in the intersection of the
fields of financial econometrics and financial engineering. A collection of papers presented
at a conference organized by the Guest Editors in collaboration with Robert E. Whaley at ...
I Shaliastovich… - Journal of Economic Dynamics and Control, 2011 - Elsevier
We develop an equilibrium endowment economy with Epstein–Zin recursive utility and a
Lévy time-change subordinator, which represents a clock that connects business and
calendar time. Our setup provides a tractable equilibrium framework for pricing non- ...
G Tauchen - Unpublished Working paper, Duke University, 2004 - econ.duke.edu
Abstract The paper reviews findings from recent estimations using various techniques of
parametric continuous time models for financial price data, and it highlights some of the
identification problems. There is a clear need to make use of the high frequency data in ...
[CITATION] Regime Shifts
R Bansal, G Tauchen… - Risk Premiums in the Term Structure, and the …, 2003
CC Chung… - Journal of Business and Economic Statistics, …, 2001 - Citeseer
Abstract The objectives of the paper are threefold: 1 to test target zone models using more
efficient and direct econometric methodology than previous research, 2 to identify an implicit
band, if it exists, from observed data and to test target zone models based on the ...
[CITATION] Associate editor's introduction
G Tauchen - Journal of Business and Economic Statistics, 1990
[CITATION] Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle. forthcoming
R Bansal, G Tauchen… - Journal of Business and Economic Statistics, 2003
G Tauchen - Economics Letters, 1986 - Elsevier
Abstract This paper derives under simplifying assumptions an explicit expression for the
lower bound on the asymptotic variance of the GMM estimate of the curvature parameter of
the CRR utility function. Numerical calculations indicate that qualitative conclusions ...
[CITATION] Stock Returns and Volume
R Gallant, P Rossi… - The Review of Financial Studies, 1992
[CITATION] The small-sample bias of tests for a risk premium in forward exchange rates
G Tauchen - manuscript, Duke University, 1985
[CITATION] The Price Variability-Volume Relationship on
GE Tauchen… - 1983
[CITATION] New Minimum Chi-square Methods in Financial Economics
GE Tauchen - Invited Symposiums at the 7th World Congress of the …, 1995
[CITATION] Simulated score methods and indirect inference for continuous-time models.” forthcoming in Handbook of Financial Econometrics
AR Gallant… - 2002
[CITATION] Testing Target Zone Models Using Efficient Methods of Moments
CS Cheung… - Journal of Business and Economic Statistics
I Shaliastovich… - Duke University, 2005 - cirano.qc.ca
Abstract We analyze discrete-time endowment economies featuring Epstein-Zin
nonexpected utility function, stochastic volatility in the endowment and separate time scales
for economic and actual activities in the economy. We extend traditional consumption ...
[CITATION] OEstimation of stochastic Volatility Models with Diagnostics
G Ronald, H David… - 1994 - working Paper, Duke University
[CITATION] ¡ 991, On fitting a recalcitrant series: The pound/dollar exchange rale, 1974-8.1
AR Gallant, DA Hsieh… - … and semiparametric methods in econometrics and …
G Tauchen - Journal of Business & Economic Statistics, 1993 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your
bookmarks. Remarks on My Term at JBES. George Tauchen (). Journal of Business
& Economic Statistics, 1993, vol. 11, issue 4, pages 428-31. Date ...
[CITATION] User's Guide for SNP: A Program for Nonparametric Time Series Analysis
AR Gallant… - 1996
G Tauchen - Journal of Business & Economic Statistics, 2002 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
G Tauchen - The Journal of Finance, 1985 - JSTOR
DISCUSSION GEORGE TAUCHEN*: This is a very good paper. Professors Wood, Ord, and
McInish have expended a great deal of effort to collect, edit, and analyze two very large data
sets, and they are to be commended for undertaking such a task. Their work uncovers a ...
[CITATION] Expected Stock Returns and Variance Risk Premia (Digest Summary)
V Todorov, G Tauchen… - 2011 - papers.ssrn.com
Abstract: The paper examines volatility activity and its asymmetry and undertakes further
specification analysis of volatility models based on it. We develop new nonparametric
statistics using high frequency option-based VIX data to test for asymmetry in volatility ...
G Tauchen - stat.fi
The task is to estimate the parameter vector ç of a vector diæusion model dUt= a Ut; ç dt+ b
Ut; ç dWt; t 0 where Ut is the state vector and Wt is a vector of standard Brownian motions.
The diæusion is assumed discretely sampled with the observed vector yt given by yt= ç Ut; ...
G Tauchen - Citeseer
Abstract A common model for security price dynamics is the continuous time stochastic
volatility model. For this model, Hull and White (1987) show that the price of a derivative
claim is the conditional expectation of the Black-Scholes price with the forward integrated ...
AR Gallant… - Computing in Economics and Finance 1997 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
GE Tauchen… - Working Papers, 1995 - ideas.repec.org
... Author info | Abstract | Publisher info | Download info | Related research | Statistics. Author
Info. Tauchen, George E. Gallant, A. Ronald Additional information is available for the
following registered author(s): George Tauchen. Abstract. ...
AR Gallant… - 1996 - Citeseer
Abstract We introduce reprojection as a general purpose technique for characterizing the
observable dynamics of a partially observed nonlinear system. System parameters are
estimated by method of moments wherein moments implied by the system are matched to ...
[CITATION] Nonparametric and Semiparametric Methods in Econometrics and Statistiques: Proceedings of the Fifth International Symposium in Economic Theory and …
J Powell, GE Tauchen… - 1991 - Cambridge University Press
PG Tauchen… - public.econ.duke.edu
Every quarter, public firms disclose information that provides a benchmark for company
performance. Investors scrutinize these figures, not only to determine the health of a firm, but
also to compare them to analyst estimates. A difference in forecasted earnings and the ...
[CITATION] A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
TB Uta… - 2007
G Tauchen - 2010 - economics.missouri.edu
Abstract We develop a new efficient and analytically tractable method for estimation of
parametric volatility models that is robust to price-level jumps and generally has good finite
sample properties. The method entails first integrating intra-day data into the Realized ...
[CITATION] A. RONALD GALLANT, DAVID HSIEH AND
G TAUCHEN - Stochastic volatility: selected …, 2005 - Oxford University Press, USA
AR Gallant… - econ.duke.edu
Abstract We describe a simulated method of moments estimator that is implemented by
choosing the vector valued moment function to be the expectation under the structural model
of the score function of an auxiliary model, where the parameters of the auxiliary model ...
G Tauchen - 2009 - public.econ.duke.edu
Jumps are rare financial events in which asset prices move drastically from one moment in
time to the next. This paper aims to find what type of information flow causes these jumps to
occur in the financial market. Jumps can play an important role in risk and portfolio ...
G Tauchen - Taylor & Francis
In recognition of the high demand for more space for regular papers - ie, other than surveys and
shorter papers and letters - Econometric Reviews will review a larger number of standard length
manuscripts and will allocate more space for the publication of meritorious articles in the ...
[CITATION] Daniel B. Nelson, 1959-1995
G Tauchen, R Tsay… - Journal of Business & Economic Statistics, 1995 - JSTOR
G Tauchen - 2008 - public.econ.duke.edu
July 15, 2008 was a historic day for petroleum markets in the US On the New York
Mercantile Exchange, crude oil opened at $146 per barrel, the highest price ever for the
commodity. After opening, the price dropped $6.44 per barrel, the largest single-day ...
G Tauchen - Working Papers, 2011 - ideas.repec.org
In this paper we present parametric estimation of models for stock returns by describing
price dynamic as the sum of two independent Levy components. The increments (moves)
are viewed as discrete-time log price changes that follow an infinitely divisible distribution, ...
[CITATION] Estimation of complete equilibrium systems explaining aggregate unemployment, employment and the real wage
GE Tauchen - 1980 - Dept. of Economics, Duke University
[CITATION] Maturity Effects for Time Varying Risk-Premiums in Option Prices
RB Balyeat, SS Pirinsky… - 2003
Abstract: The volatility component models have received much attention recently, not only
because of their ability to capture complex dynamics via a parsimonious parameter
structure, but also because it is believed that they can handle well structural breaks or non ...
V Todorov… - 2011 - papers.ssrn.com
Abstract: We develop a nonparametric estimator of the stochastic volatility density of a
discretely-observed Ito semimartingale in the setting of an increasing time span and finer
mesh of the observation grid. There are two steps. The first is aggregating the high- ...
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