Estimation of realized asymmetric stochastic volatility models using Kalman filter
Year of publication: |
2023
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Authors: | Asai, Manabu |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 11.2023, 3, Art.-No. 18, p. 1-13
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Subject: | realized volatility | stochastic volatility | asymmetry | heavy-tailed distribution | quasi-maximum likelihood estimation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics11030018 [DOI] |
Classification: | C2 - Econometric Methods: Single Equation Models ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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