Estimating stochastic volatility models using realized measures

DOI10.1515/snde-2014-0113OpenAlexW3123071440MaRDI QIDQ2691659

Bastian Gribisch, Jeremias Bekierman

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0113

zbMATH Keywords

leverage effectrealized volatilitystochastic volatility modelefficient importance samplingparameter-driven models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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