Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (Q4670770): Difference between revisions

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Latest revision as of 09:28, 10 June 2024

scientific article; zbMATH DE number 2160783
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English
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
scientific article; zbMATH DE number 2160783

    Statements

    Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (English)
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    22 April 2005
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    Kalman filter
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    Leverage
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    Lévy process
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    power variation
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    quadratic variation
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    quarticity
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    subordination
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    superposition
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