Extended stochastic volatility models incorporating realised measures (Q1623565): Difference between revisions

@@ Property / DOI @@
-.1016/j.csda.2012.11.005
@@ Property / DOI: 10.1016/j.csda.2012.11.005 / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2012.11.005
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@@ Property / OpenAlex ID @@
+W2044590825
@@ Property / OpenAlex ID: W2044590825 / rank @@
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@@ Property / cites work @@
+Ultra high frequency volatility estimation with dependent microstructure noise
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@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
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@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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@@ Property / cites work @@
+Realized range-based estimation of integrated variance
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@@ Property / cites work @@
+Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
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@@ Property / cites work @@
+Measuring volatility with the realized range
@@ Property / cites work: Measuring volatility with the realized range / rank @@
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@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
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@@ Property / cites work @@
+Estimating stochastic volatility models using daily returns and realized volatility simultaneously
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@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
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@@ Property / cites work @@
+An algorithm for estimating parameters of state-space models
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@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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@@ Property / DOI @@
+.1016/J.CSDA.2012.11.005
@@ Property / DOI: 10.1016/J.CSDA.2012.11.005 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1623565