ShirotaShinichiro, HizuTakayuki, OmoriYasuhiro
Abstract
The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. The dependent variable in the stochastic volatility model i...
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The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. The dependent variable in the stochastic volatility model i...
Key concepts: Stochastic volatility, Long memory, Leverage (statistics), Econometrics, Volatility (finance), Implied volatility, Computer science, Mathematics