Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods
Milan Fičura, Jiří Witzany (Faculty of Finance and Accounting, University of Economics, Prague)
| Year of publication: |
2016
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|---|---|
| Authors: | Fičura, Milan ; Witzany, Jiří |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 66.2016, 4, p. 278-301
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| Subject: | stochastic volatility | Bayesian inference | quadratic variation | realized variance | bipower variation | self-exciting jumps | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Schätzung | Estimation | Schätztheorie | Estimation theory | Börsenkurs | Share price | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011532802