Estimating stochastic volatility models using realized measures
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Publication:2691659
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
leverage effectrealized volatilitystochastic volatility modelefficient importance samplingparameter-driven models
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