Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
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- Kleppe, Tore Selland & Liesenfeld, Roman, 2011. "Efficient high-dimensional importance sampling in mixture frameworks," Economics Working Papers 2011-11, Christian-Albrechts-University of Kiel, Department of Economics.
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KeywordsAutoregression; bipower variation; high-frequency data; implied volatility; integrated volatility; Kalman fi?lter; moving average; option prices; realized volatility; state space model; stochastic volatility.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-ECM-2011-02-26 (Econometrics)
- NEP-ETS-2011-02-26 (Econometric Time Series)
- NEP-MST-2011-02-26 (Market Microstructure)
- NEP-ORE-2011-02-26 (Operations Research)
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