Realized stochastic volatility with leverage and long memory
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Publication:1623559
DOI10.1016/j.csda.2013.08.013zbMath1506.62166OpenAlexW2132236499MaRDI QIDQ1623559
Takayuki Hizu, Yasuhiro Omori, Shinichiro Shirota
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf869.pdf
Markov chain Monte Carlolong memoryleverage effectstate space modelARFIMArealized volatilitymixture samplerrealized stochastic volatility model
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Uses Software
Cites Work
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