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 / Giacomo Bormetti; Roberto Casarin; Fulvio Corsi; Giulia Livieri. - ELETTRONICO. - 114:(2017), pp. 205-209. (Intervento presentato al convegno SIS 2017 tenutosi a Firenze nel 28 - 30 giugno 2017).
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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