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

See all articles by George Dotsis

George Dotsis

National Kapodistrian University of Athens - Faculty of Economics; Essex Finance Centre, Essex Business School, University of Essex

Raphael N. Markellos

University of East Anglia (UEA) - Norwich Business School

Terence C. Mills

Loughborough University - Department of Economics

Date Written: October 31, 2008

Abstract

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.

Suggested Citation

Dotsis, George and Markellos, Raphael N. and Mills, Terence C., Estimation of Continuous-Time Stochastic Volatility Models (October 31, 2008). HANDBOOK OF ECONOMETRICS, Vol. 2, Palgrave, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1292827

George Dotsis (Contact Author)

National Kapodistrian University of Athens - Faculty of Economics ( email )

Greece

HOME PAGE: http://sites.google.com/site/gdotsis/

Essex Finance Centre, Essex Business School, University of Essex ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

Raphael N. Markellos

University of East Anglia (UEA) - Norwich Business School ( email )

Norwich
NR4 7TJ
United Kingdom

Terence C. Mills

Loughborough University - Department of Economics ( email )

York House
Loughborough LE11 3TU
Great Britain
+44 1509 222703 (Phone)
+44 1509 223910 (Fax)

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