Bayesian range-based estimation of stochastic volatility models
Publication
, Journal Article
Brandt, MW; Jones, CS
Published in: Finance Research Letters
December 1, 2005
Alizadeh, Brandt, and Diebold [2002. Journal of Finance 57, 1047-1091] propose estimating stochastic volatility models by quasi-maximum likelihood using data on the daily range of the log asset price process. We suggest a related Bayesian procedure that delivers exact likelihood based inferences. Our approach also incorporates data on the daily return and accommodates a nonzero drift. We illustrate through a Monte Carlo experiment that quasi-maximum likelihood using range data alone is remarkably close to exact likelihood based inferences using both range and return data. © 2005 Elsevier Inc. All rights reserved.
Duke Scholars
Published In
Finance Research Letters
DOI
ISSN
1544-6123
Publication Date
December 1, 2005
Volume
2
Issue
4
Start / End Page
201 / 209
Related Subject Headings
- Finance
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
Brandt, M. W., & Jones, C. S. (2005). Bayesian range-based estimation of stochastic volatility models. Finance Research Letters, 2(4), 201–209. https://doi.org/10.1016/j.frl.2005.09.001
Brandt, M. W., and C. S. Jones. “Bayesian range-based estimation of stochastic volatility models.” Finance Research Letters 2, no. 4 (December 1, 2005): 201–9. https://doi.org/10.1016/j.frl.2005.09.001.
Brandt MW, Jones CS. Bayesian range-based estimation of stochastic volatility models. Finance Research Letters. 2005 Dec 1;2(4):201–9.
Brandt, M. W., and C. S. Jones. “Bayesian range-based estimation of stochastic volatility models.” Finance Research Letters, vol. 2, no. 4, Dec. 2005, pp. 201–09. Scopus, doi:10.1016/j.frl.2005.09.001.
Brandt MW, Jones CS. Bayesian range-based estimation of stochastic volatility models. Finance Research Letters. 2005 Dec 1;2(4):201–209.
Published In
Finance Research Letters
DOI
ISSN
1544-6123
Publication Date
December 1, 2005
Volume
2
Issue
4
Start / End Page
201 / 209
Related Subject Headings
- Finance
- 1502 Banking, Finance and Investment