Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously
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- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2009. "Estimating stochastic volatility models using daily returns and realized volatility simultaneously," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2404-2426, April.
References listed on IDEAS
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-08 (All new papers)
- NEP-ECM-2007-12-08 (Econometrics)
- NEP-ETS-2007-12-08 (Econometric Time Series)
- NEP-MST-2007-12-08 (Market Microstructure)
- NEP-RMG-2007-12-08 (Risk Management)
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