Stochastic Volatility and Realized Stochastic Volatility Models

This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volat...

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Dades bibliogràfiques

Autors principals:	Takahashi, Makoto (Autor), Omori, Yasuhiro (Autor), Watanabe, Toshiaki (Autor)
Autor corporatiu:	SpringerLink (Online service)
Format:	Electrònic eBook
Idioma:	anglès
Publicat:	Singapore : Springer Nature Singapore : Imprint: Springer, 2023.
Edició:	1st ed. 2023.
Col·lecció:	JSS Research Series in Statistics,
Matèries:	Statistics . Social sciences > Statistical methods. Econometrics. Statistics in Business, Management, Economics, Finance, Insurance. Statistics in Social Sciences, Humanities, Law, Education, Behavorial Sciences, Public Policy. Statistical Theory and Methods. Quantitative Economics.
Accés en línia:	https://doi.org/10.1007/978-981-99-0935-3
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