The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures

By S. J. Koopman, Marcel Scharth. 2011

89 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/16da6420022d439baac3c0f70d3bb84f7764339d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Makoto Takahashi
2. Yasuhiro Omori
3. Toshiaki Watanabe

In Finance

1. Yasuhiro Omori
2. Makoto Takahashi
3. Toshiaki Watanabe
4. Michael Mcaleer
5. Manabu Asai

Citations in the corpus

• Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016, methodology): “O’Hara (1995) and Hasbrouck (2007) provide a comprehensive review of the market microstructure theory and its applications.”