Extended stochastic volatility models incorporating realised measures

DOI10.1016/j.csda.2012.11.005zbMath1506.62182OpenAlexW2044590825MaRDI QIDQ1623565

P. J. de Jongh, J. H. Venter

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.11.005

zbMATH Keywords

stochastic volatilitylatent variablesrealised volatilitycombined volatility estimatorintraday price data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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The split-SV model ⋮ Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry ⋮ Estimating stochastic volatility models using realized measures

Cites Work

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• Estimating stochastic volatility models using daily returns and realized volatility simultaneously
• An algorithm for estimating parameters of state-space models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Modeling and Forecasting Realized Volatility

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