Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods

DOI10.1007/S00180-014-0546-6zbMath1317.65044OpenAlexW2142697806MaRDI QIDQ2354744

Didit Budi Nugroho, Takayuki Morimoto

Publication date: 24 July 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-014-0546-6

zbMATH Keywords

Hamiltonian Monte Carloinefficiency factorrealized stochastic volatility model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions ⋮ Incorporating realized quarticity into a realized stochastic volatility model

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