Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange (Q2150391): Difference between revisions

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Property / DOI: 10.1016/j.physa.2018.02.054 / rank
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Latest revision as of 06:35, 17 December 2024

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Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange
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    Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange (English)
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    27 June 2022
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    realized volatility
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    realized stochastic volatility model
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    hybrid Monte Carlo method
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    high-frequency data
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    market microstructure noise
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