Incorporating realized quarticity into a realized stochastic volatility model
From MaRDI portal
Publication:2011046
DOI10.1007/s10690-019-09276-2zbMath1425.91429OpenAlexW2939953943WikidataQ128119248 ScholiaQ128119248MaRDI QIDQ2011046
Takayuki Morimoto, Didit Budi Nugroho
Publication date: 28 November 2019
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-019-09276-2
stochastic volatilityMarkov chain Monte CarloStudent-\(t\) distributionasymmetric effectrealized quarticity
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On leverage in a stochastic volatility model
- Stochastic volatility in mean models with heavy-tailed distributions
- Jump-robust volatility estimation using nearest neighbor truncation
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
- Realized stochastic volatility with general asymmetry and long memory
- Estimating stochastic volatility models using realized measures
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Realized Volatility: A Review
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- The Distribution of Realized Exchange Rate Volatility
- Bayes Factors
- Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions
- Realized Non-linear Stochastic Volatility Models with Asymmetric Effects and Generalized Student's <i>t</i>-Distributions
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Exploiting the errors: a simple approach for improved volatility forecasting
