Latent Volatility Estimation is a statistical methodology within stochastic volatility modeling that infers unobservable volatility dynamics from observed asset prices by distinguishing between the measurable price process and the underlying hidden volatility process governing its variability.
66
Publications
8.9K
Citations
112
Authors
101
Institutions
Publications per year
2017–2026
18
Parents
Publications
66
Range‐Based Estimation of Stochastic Volatility Models
Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold · The Journal of Finance · 2002 · 1.2K citations · Full text
1–5 of 66
Authors
112
- TB
7
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- RM
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- GT
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- FX
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- PC
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1–5 of 112
Institutions
101
Duke University
Durham, United States
9 h-index
11 publications
1.8K citations
University of Toronto
Toronto, Canada
4 h-index
9 publications
345 citations
National Bureau of Economic Research
Cambridge, United States
4 h-index
6 publications
761 citations
Erasmus University Rotterdam
Rotterdam, The Netherlands
3 h-index
5 publications
176 citations
University of Pennsylvania
Philadelphia, United States
3 h-index
5 publications
3K citations
Federal Reserve Board of Governors
Washington D.C., United States
2 h-index
2 publications
353 citations
Université Paris Dauphine-PSL
Paris, France
2 h-index
3 publications
322 citations
University of Chicago
Chicago, United States
2 h-index
3 publications
526 citations
1–8 of 101
Venues
- SSRN Electronic Journal
Repository · 8 publications · 519 citations
8
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- Journal of Business and Economic Statistics
JBES · 6 publications · 1K citations
6
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- Journal of Financial Econometrics
3 publications · 559 citations
3
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- Applied Stochastic Models in Business and Industry
2 publications · 32 citations
2
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- Journal of Applied Econometrics
2 publications · 156 citations
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1–5