11-132/4 - The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures

• Authors
  Siem Jan Koopman, VU University Amsterdam; Marcel Scharth, VU University Amsterdam
• Publication date
  September 20, 2011

• Keywords
  Kalman filter, leverage, realised volatility, simulated maximum likelihood
• JEL
  C22, C58