Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange
From MaRDI portal
Publication:2150391
DOI10.1016/J.PHYSA.2018.02.054OpenAlexW2790916942MaRDI QIDQ2150391
Publication date: 27 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2018.02.054
high-frequency datamarket microstructure noiserealized volatilityhybrid Monte Carlo methodrealized stochastic volatility model
Cites Work
- Unnamed Item
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
- ARCH modeling in finance. A review of the theory and empirical evidence
- Higher order hybrid Monte Carlo at finite temperature
- Roles of capital flow on the stability of a market system
- Generalized autoregressive conditional heteroscedasticity
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Realized Volatility: A Review
- Handbook of Markov Chain Monte Carlo
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Likelihood analysis of non-Gaussian measurement time series
- The Distribution of Realized Exchange Rate Volatility
- Quadratic ARCH Models
- Equation of State Calculations by Fast Computing Machines
- A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
- ODD-FLAVOR HYBRID MONTE CARLO ALGORITHM FOR LATTICE QCD
- Choice of integrator in the hybrid Monte Carlo algorithm
This page was built for publication: Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange