Extended stochastic volatility models incorporating realised measures
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Publication:1623565
DOI10.1016/j.csda.2012.11.005zbMath1506.62182OpenAlexW2044590825MaRDI QIDQ1623565
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2012.11.005
stochastic volatilitylatent variablesrealised volatilitycombined volatility estimatorintraday price data
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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