High-frequency realized stochastic volatility model

Publisher: Hitotsubashi Institute for Advanced Study, Hitotsubashi University

Notes on use

Note (General)：: Grant-in-Aid for Scientific Research No. 19H00588 (Watanabe only) and 20H00073

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Summary, etc.：: A new high-frequency realized stochastic volatility model is proposed. Apart from the standard daily-frequency stochastic volatility model, the high-f...

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Material Type: 文書・図像類
Title: High-frequency realized stochastic volatility model
Author/Editor: Watanabe, Toshiaki
Nakajima, Jouchi
Author Heading: Watanabe, Toshiaki
https://nrid.nii.ac.jp/nrid/1000090254135/
Nakajima, Jouchi
https://nrid.nii.ac.jp/nrid/1000020962062/
Publication, Distribution, etc.: Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Publication Date: 2023-01
Publication Date (W3CDTF): 2023-01
Contributor: Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Text Language Code: eng
Subject Heading: Bayesian analysis
High-frequency data
Markov chain Monte Carlo
Realized volatility
Stochastic volatility model
Volatility forecasting
Target Audience: 一般
Note (General): Grant-in-Aid for Scientific Research No. 19H00588 (Watanabe only) and 20H00073
Format (IMT): application/pdf
Source: fulltext
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/78469/070_hiasDP-E-127.pdf
Access Restrictions: インターネット公開
Periodical Title: Discussion paper series ; No. HIAS-E-127
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 一橋大学 : HERMES-IR(一橋大学機関リポジトリ) : Research & Education Resources