书名：Econometric Analysis of Continuous-Time Asset Return Models Using High Frequency Data
作者：GEORGE J. JIANG AND ROEL C.A. OOMENy
时间：2003
页数：46
格式：pdf
摘要：This paper proposes a new approach to the statistical inference of continuous-time asset return
models with latent or unobserved state variables using high frequency return observations. We construct
unbiased minimum-variance estimators of the latent variables that are also consistent with the
model specication. We illustrate using examples the construction of unbiased minimum-variance
estimators of latent variables and demonstrate via simulation their properties in comparison with
other commonly used proxies. The unbiased estimators of latent variables enable us to develop a
parsimonious and yet exibleGMMestimation procedure for the continuous-time asset return models,
which involves neither path simulation nor discretization of the continuous-time process. Using
the high frequency return observations of S&P 500 index and FTSE 100 index, we implement our
estimation approach to various continuous-time stochastic volatility asset return models.