Incorporating realized quarticity into a realized stochastic volatility model
Didit Budi Nugroho, Takayuki Morimoto
| Year of publication: |
2019
|
|---|---|
| Authors: | Nugroho, Didit B. ; Morimoto, Takayuki |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 26.2019, 4, p. 495-528
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| Subject: | Asymmetric effect | Markov Chain Monte Carlo | Realized quarticity | Stochastic volatility | Student-t distribution | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-019-09276-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012309817