Open Conference Systems, STATISTICS AND DATA SCIENCE: NEW CHALLENGES, NEW GENERATIONS

Font Size: 
A stochastic volatility framework with analytical filtering
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi, Giulia Livieri

Last modified: 2017-05-20

Abstract


Motivated by the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both the observed returns and realized measures to the latent conditional variance.