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Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data.

This article proposes a new approach to exploit the information in high-frequency data for the statistical inference of continuous-time affine jump diffusion (AJD) models with latent variables. For this purpose, we construct unbiased estimators of the latent variables and their power functions on th...

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Published in:Journal of Financial Econometrics Vol. 5; no. 1; pp. 1 - 31
Main Authors: Jiang, George J., Oomen, Roel C. A.
Format: Article
Published: Oxford University Press / UK Winter 2007
Subjects:
Diffusion processes
Estimation theory
Latent variables
Moments method (Statistics)
Online Access:View this record in EBSCOhost