The analysis of stochastic volatility in the presence of daily realised measures

Siem Jan Koopman; Marcel Scharth

Year of publication:	2011
Authors:	Koopman, Siem Jan ; Scharth, Marcel
Publisher:	Rotterdam
Subject:	Kalman filter \| Leverage \| Realised volatility \| Simulated maximum likelihood \| Volatilität \| Volatility \| Zustandsraummodell \| State space model \| Stochastischer Prozess \| Stochastic process \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Simulation

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