We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale … underlying volatility Laplace transform. The second step is using a regularized kernel to invert the realized Laplace transform … important cases such as level jumps and possible dependencies between volatility moves and either diffusive or jump moves in the …

parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of …

stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors …

financial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general … information from returns and realized volatility measures simultaneously. The long memory structure of both models can describe … three stock market indices. The estimation and forecasting results indicate the adequacy of considering general long memory …

We consider semiparametric estimation of the memory parameter in a long memorystochastic volatility model. We study the … is particularlydesirable in the context of the long memory stochastic volatility model …

We consider semiparametric estimation of the memory parameter in a long memorystochastic volatility model. We study the … stochastic volatility model …

In this paper, we provide evidence that fat tails and stochastic volatility can be important in improving in-sample fit … rates and stock returns. In terms of in-sample fit, the VAR model featuring both stochastic volatility and t … accounting for both stochastic volatility and Student's t-distributed disturbances may lead to improved forecast accuracy …

estimate complex latent state variable models with unknown parameters. The framework is applied to a stochastic volatility … model with independent jumps in returns and volatility. The implementation is based on a novel design of adapted proposal … algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange …