Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (Q4670770)
From MaRDI portal
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)
0 references
22 April 2005
0 references
Kalman filter
0 references
Leverage
0 references
Lévy process
0 references
power variation
0 references
quadratic variation
0 references
quarticity
0 references
subordination
0 references
superposition
0 references
0 references
0 references
