Work

Maximum likelihood estimation of stochastic volatility models

Year: 2006

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/j.jfineco.2005.10.006

Authors: Yacine Aït-Sahalia, Robert Kimmel

Institution: Princeton University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: National Science Foundation

Award: The Econometrics of Distinguishing Jumps from Volatility

OpenAlex ID: W3122025015

FWCI: 36.31

Cites: 55

Cited by: 511

Related to: 10