Simple factor realized stochastic volatility models
From MaRDI portal
Publication:2693373
DOI10.1515/jtse-2021-0049OpenAlexW4319340812MaRDI QIDQ2693373
Publication date: 20 March 2023
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2021-0049
Cites Work
- Unnamed Item
- The Model Confidence Set
- A multiple indicators model for volatility using intra-daily data
- Higher order elicitability and Osband's principle
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Volatility forecast comparison using imperfect volatility proxies
- An alternative derivation of the Kalman filter using the quasi-likelihood method
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
- Estimating variance from high, low and closing prices
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Elicitability and backtesting: perspectives for banking regulation
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
- Realized kernels in practice: trades and quotes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a measure of lack of fit in time series models
- Automatic Lag Selection in Covariance Matrix Estimation
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- GMM estimation of a realized stochastic volatility model: A Monte Carlo study
- Exploiting the errors: a simple approach for improved volatility forecasting
This page was built for publication: Simple factor realized stochastic volatility models
