Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
Using unobservable conditional variance as measure, latent–variable approaches, such as GARCH and stochastic … unobservable conditional variance as measure, latent–variable approaches, such as
GARCH and stochastic–volatility models, have …22, C51, C52, C53
Keywords: Finance, Realized Volatility, Realized Quarticity, GARCH, Normal Inverse
Gaussian …