2008•Computational Statistics & Data AnalysisOpen access

Estimating stochastic volatility models using daily returns and realized volatility simultaneously

Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe

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Key concepts: Volatility (finance), Econometrics, Stochastic volatility, Forward volatility, Markov chain Monte Carlo, Realized variance, Bayesian probability, Implied volatility

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Estimating stochastic volatility models using daily returns and realized volatility simultaneously — Research Paper | ScholarLens