Estimating stochastic volatility models using daily returns and realized volatility simultaneously

DOI10.1016/j.csda.2008.07.039zbMath1453.62212OpenAlexW2034906991MaRDI QIDQ961439

Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.07.039

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• Ox

Cites Work

• Unnamed Item
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