Estimation of Continuous-Time Stochastic Volatility Models
HANDBOOK OF ECONOMETRICS, Vol. 2, Palgrave, Forthcoming
32 Pages Posted: 4 Nov 2008 Last revised: 3 Dec 2008
Date Written: October 31, 2008
This chapter reviews some of the key issues involved in estimating continuous-time stochastic volatility models. Such models have become popular recently because they provide a rich variety of alternative specifications which often lead to closed or semi-closed solutions in a variety of asset pricing applications. An empirical comparison of various stochastic volatility models is also undertaken, along with a discussion of some directions for future research.
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