Stochastic volatility and realized stochastic volatility models / Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe.
This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volat...
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