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Estimation of Continuous-Time Stochastic Volatility Models

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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.

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Authors
  1. George Dotsis
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  2. Raphael N. Markellos
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  3. Terence C. Mills
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Editor information

Editors and Affiliations

  1. Loughborough University, UK

    Terence C. Mills (Professor of Applied Statistics and Econometrics) (Professor of Applied Statistics and Econometrics)

  2. University of Reading, UK

    Kerry Patterson (Professor of Econometric) (Professor of Econometric)

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© 2009 George Dotsis, Raphael N. Markellos and Terence C. Mills

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Dotsis, G., Markellos, R.N., Mills, T.C. (2009). Estimation of Continuous-Time Stochastic Volatility Models. In: Mills, T.C., Patterson, K. (eds) Palgrave Handbook of Econometrics. Palgrave Macmillan, London. https://doi.org/10.1057/9780230244405_19

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