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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
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