Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22
This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...
