scholarly journals Estimation of Continuous Time Models for Stock Returns and Interest Rates

1997 ◽  
Author(s):  
A. Ronald Gallant ◽  
George E. Tauchen
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Continuous Time ◽  
Continuous Time Models

scholarly journals Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns

2009 ◽  
Vol 25 (2) ◽  
pp. 233-261 ◽  
Author(s):  
Torben G. Andersen ◽  
Tim Bollerslev ◽  
Per Frederiksen ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Stock Returns ◽  
Continuous Time ◽  
Daily Stock Returns ◽  
Continuous Time Models

scholarly journals Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

2007 ◽  
Author(s):  
Torben G. Andersen ◽  
Tim Bollerslev ◽  
Per Skaarup Frederiksen ◽  
Morten Ørregaard Nielsen ◽  
Margit Sommer
Keyword(s):  
Stock Returns ◽  
Continuous Time ◽  
Daily Stock Returns ◽  
Continuous Time Models

scholarly journals ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES

1997 ◽  
Vol 1 (1) ◽  
pp. 135-168 ◽  
Author(s):  
A. RONALD GALLANT ◽  
GEORGE TAUCHEN
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Method Of Moments ◽  
Continuous Time ◽  
Factor Model ◽  
Composite Index ◽  
Efficient Method Of Moments ◽  
Local Variance ◽  
Volatility Models ◽  
Yield Factor

Efficient Method of Moments is used to estimate and test continuous-time diffusion models for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with one state observed can account for the dynamics of the daily return on the S&P Composite Index, 1927–1987. This contrasts with results indicating that discrete-time, stochastic volatility models cannot explain these dynamics. For interest rates, a trivariate Yield-Factor Model is estimated from weekly, 1962–1995, Treasury rates. The Yield-Factor Model is sharply rejected, although extensions permitting convexities in the local variance come closer to fitting the data.

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