2013•Computational Statistics & Data AnalysisRequires access

Realized stochastic volatility with leverage and long memory

Shinichiro Shirota, Takayuki Hizu, Yasuhiro Omori

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Key concepts: Stochastic volatility, Autoregressive fractionally integrated moving average, Markov chain Monte Carlo, Econometrics, Volatility (finance), Forward volatility, Mathematics, Constant elasticity of variance model

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Realized stochastic volatility with leverage and long memory — Research Paper | ScholarLens