Incorporating realized quarticity into a realized stochastic volatility model

DOI10.1007/S10690-019-09276-2MaRDI QIDQ2011046zbMATH OpenOpenAlexWikidataFDO

Authors Didit Budi Nugroho, Takayuki Morimoto

Publication date 28 November 2019

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-019-09276-2

zbMATH Keywords

Markov chain Monte Carlostochastic volatilityStudent-\(t\) distributionasymmetric effectrealized quarticity

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 597911 (Why is no real title available?)
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• Estimating stochastic volatility models using realized measures
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
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• Realized stochastic volatility with general asymmetry and long memory
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stochastic volatility in mean models with heavy-tailed distributions
• The Distribution of Realized Exchange Rate Volatility

Cited in

(3)

• Extended stochastic volatility models incorporating realised measures
• Smooth transition realized stochastic volatility model
• Realized non-linear stochastic volatility models with asymmetric effects and generalized Student's \(t\)-distributions

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