The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures
Year of publication: |
2015-04
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Authors: | Santos, António Alberto |
Institutions: | Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia |
Subject: | Bayesian estimation | Financial returns | Integrated volatility | Intraday data | Markov chain Monte Carlo | Realized volatility | Stochastic volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2015-10 24 pages |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications ; G17 - Financial Forecasting |
Source: |
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Degiannakis, Stavros, (2013)
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