Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22
This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic … volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework … returns and logarithmic realized volatility but also enables flexible adjustments for estimation bias in realized volatility …
