State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise
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- Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models," Economics Series Working Papers 71, University of Oxford, Department of Economics.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-09-30 (Econometrics)
- NEP-ETS-2024-09-30 (Econometric Time Series)
- NEP-MST-2024-09-30 (Market Microstructure)
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