High-frequency realized stochastic volatility model
Toshiaki Watanabe, Jouchi Nakajima
| Year of publication: |
2024
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|---|---|
| Authors: | Watanabe, Toshiaki ; Nakajima, Jouchi |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 79.2024, Art.-No. 101559, p. 1-16
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| Subject: | Bayesian analysis | High-frequency data | Markov chain Monte Carlo | Realized volatility | Stochastic volatility model | Volatility forecasting | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Theorie | Theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Bayes-Statistik | Bayesian inference | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101559 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015179722