A0876
Title: Likelihood estimation in diffusion models with high frequency estimators of volatility
Authors: Donggyu Kim - KAIST (Korea, South) [presenting]
Abstract: A parametric estimation procedure is introduced for unobserved stochastic volatility processes. Specifically, volatility processes are first estimated using high-frequency data, and an estimation procedure is developed based on the estimated volatility process. Then, the effect of using the volatility estimators is studied, and a bias adjustment scheme is developed, where the bias comes from the volatility estimator. Finally, its asymptotic distribution is established.
