Motivated by the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both the observed returns and realized measures to the latent conditional variance.
A stochastic volatility framework with analytical filtering
BORMETTI, GIACOMO;LIVIERI, GIULIA
2017
Abstract
Motivated by the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both the observed returns and realized measures to the latent conditional variance.File in questo prodotto:
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