of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results … is given for the stochastic volatility model with leverage. …

estimate complex latent state variable models with unknown parameters. The framework is applied to a stochastic volatility … model with independent jumps in returns and volatility. The implementation is based on a novel design of adapted proposal … algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange …