Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13
Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated … quasi-likelihood ratio tests favored the two-factor realized asymmetric stochastic volatility model with the standardized t … distribution among alternative specifications, and an analysis on out-of sample forecasts prefers the realized stochastic …