Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood est...

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Autor principal:	Manabu Asai
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2023-07-01
Col·lecció:	Econometrics
Matèries:	realized volatility stochastic volatility asymmetry heavy-tailed distribution quasi-maximum likelihood estimation
Accés en línia:	https://www.mdpi.com/2225-1146/11/3/18
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