Realized stochastic volatility with leverage and long memory (Q1623559)
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scientific article; zbMATH DE number 6983999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Realized stochastic volatility with leverage and long memory |
scientific article; zbMATH DE number 6983999 |
Statements
Realized stochastic volatility with leverage and long memory (English)
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23 November 2018
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ARFIMA
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leverage effect
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long memory
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Markov chain Monte Carlo
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mixture sampler
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realized volatility
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realized stochastic volatility model
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state space model
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