Incorporating realized quarticity into a realized stochastic volatility model

DOI10.1007/S10690-019-09276-2zbMATH Open1425.91429OpenAlexW2939953943WikidataQ128119248 ScholiaQ128119248MaRDI QIDQ2011046FDOQ2011046

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

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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)

Cites Work

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• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
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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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