Realized stochastic volatility model. Bayesian analysis using Markov chain Monte Carlo

MaRDI QIDQ2864714zbMATH OpenFDO

Authors Yasuhiro Omori, Toshiaki Watanabe

Publication date 26 November 2013

Published in Journal of the Japan Statistical Society (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cited in

(5)

• Incorporating realized quarticity into a realized stochastic volatility model
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
• On the volatility of high frequency stock index based on SV model of MCMC
• Smooth transition realized stochastic volatility model
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously

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