Econometric analysis of realized volatility and its use in estimating stochastic volatility models (Q3374324)
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scientific article; zbMATH DE number 5010692
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| default for all languages | No label defined |
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| English | Econometric analysis of realized volatility and its use in estimating stochastic volatility models |
scientific article; zbMATH DE number 5010692 |
Statements
9 March 2006
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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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0.9999998211860656
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0.823546826839447
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0.8139216303825378
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