Palgrave Handbook of Econometrics: Applied Econometrics

952 Continuous-Time Stochastic Volatility Models these facets is based on the ARCH/GARCH model introduced by Engle (1982) and Bo ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 953 0.0800 0.0600 0.0400 0.0200 0.0000 –0.0200 –0.0400 –0.0600 –0.0800 ...

954 Continuous-Time Stochastic Volatility Models mean reversion parameter has been found to alter dramatically at different data ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 955 implied volatility VXO over the period 1990–2007.^5 The relationshi ...

956 Continuous-Time Stochastic Volatility Models 19.2.1 Affine diffusions The must popular stochastic volatility (SV) models are ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 957 The conditional means of the two models are identical but, from (19 ...

958 Continuous-Time Stochastic Volatility Models SV4 is also called the constant elasticity of variance process and has been use ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 959 Whenxtis fully observed the likelihood function for estimating the ...

960 Continuous-Time Stochastic Volatility Models Gallant, Hsieh and Tauchen (1997), Andersen and Lund (1997), Andersen, Benzoni ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 961 19.3.1.2 Markov chain Monte Carlo The Bayesian Markov chain Monte C ...

962 Continuous-Time Stochastic Volatility Models equation (PDE): 1 2 Vt ∂^2 φ ∂y^2 t +ρ √ V 2 σ(Vt;θ) ∂^2 φ ∂yt∂Vt + 1 2 σ(Vt;θ) ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 963 and estimates various diffusion/jump diffusion stochastic volatilit ...

964 Continuous-Time Stochastic Volatility Models breakthrough paper, Aït-Sahalia (2008) derives transition density approximation ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 965 to derive the conditional moments of integrated volatility. For exa ...

966 Continuous-Time Stochastic Volatility Models Table 19.1 The parameter estimates (annualized) and thet- statistics (reported ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 967 Duffie and Singleton (1993), the simulated maximum likelihood (SML) ...

968 Continuous-Time Stochastic Volatility Models of realized volatility takes into account market microstructure noise using a t ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 969 Bates, D. (1996a) Testing option pricing models. In G.S. Maddala an ...

970 Continuous-Time Stochastic Volatility Models Duffie, D. and K. Singleton (1993) Simulated moments estimation of Markov model ...

George Dotsis, Raphael N. Markellos and Terence C. Mills 971 Kim, S., N. Shephard and S. Chib (1998) Stochastic volatility: like ...