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O. E. Barndorff-Nielsen and N. Shephard, “Non-gaussian Ornstein—Uhlenbeck-Based Models and Some of Their Uses in Financial Economics (with Discussion),” Journal of the Royal Statistical Society: Series B, Vol. 63, No. 2, 2001, pp. 167-241. doi:10.1111/1467-9868.00282

has been cited by the following article:

• TITLE: Some New Estimators of Integrated Volatility

  AUTHORS: Jaya P. N. Bishwal

  KEYWORDS: Stochastic Volatility, Kernel Estimator, Realized Volatility, Moment Problem, Rate of Convergence, Higher Order Asymptotics, Smoothing Spline

  JOURNAL NAME: Open Journal of Statistics, Vol.1 No.2, July 29, 2011

  ABSTRACT: We develop higher order accurate estimators of integrated volatility in a stochastic volatility models by using kernel smoothing method and using different weights to kernels. The weights have some relationship to moment problem. As the bandwidth of the kernel vanishes, an estimator of the instantaneous stochastic volatility is obtained. We also develop some new estimators based on smoothing splines.