Estimating stochastic volatility models using realized measures
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 | Schätzung | Estimation | Theorie | Theory | Stichprobenerhebung | Sampling | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
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