Work

Estimating stochastic volatility models using daily returns and realized volatility simultaneously

Year: 2008

Type: article

Source: Computational Statistics & Data Analysis

DOI: 10.1016/j.csda.2008.07.039

Authors: Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe

Institutions: Northwestern University, The University of Tokyo, Hitotsubashi University, Institute of Economic Research, Hitotsubashi University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1580453396

FWCI: 7.573

Cites: 38

Cited by: 137

Related to: 10