Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood est...
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| Formato: | Artigo |
| Idioma: | English |
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MDPI AG
2023-07-01
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| Colecção: | Econometrics |
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| Acesso em linha: | https://www.mdpi.com/2225-1146/11/3/18 |