Simple factor realized stochastic volatility models
Hiroyuki Kawakatsu
| Year of publication: |
2023
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|---|---|
| Authors: | Kawakatsu, Hiroyuki |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 15.2023, 1, p. 79-110
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| Subject: | Kalman filtering | realized variance | state space model | stochastic volatility | Zustandsraummodell | State space model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2021-0049 [DOI] |
| Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; c58 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014288373