Estimating stochastic volatility models using realized measures
Jeremias Bekierman and Bastian Gribisch
| Year of publication: |
2016
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|---|---|
| Authors: | Bekierman, Jeremias ; Gribisch, Bastian |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 20.2016, 3, p. 279-300
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| Subject: | efficient importance sampling | leverage effect | parameter-driven models | realized volatility | stochastic volatility model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Schätzung | Estimation | Stichprobenerhebung | Sampling | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2014-0113 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011507527