Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (Q4670770): Difference between revisions
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Revision as of 16:50, 5 March 2024
scientific article; zbMATH DE number 2160783
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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