Department of Economics and Business Economics

The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures

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The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. / Koopman, Siem Jan; Scharth, Marcel.

In: Journal of Financial Econometrics, Vol. 11, No. 1, 2013, p. 76-115.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Koopman, SJ & Scharth, M 2013, 'The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures', Journal of Financial Econometrics, vol. 11, no. 1, pp. 76-115. https://doi.org/10.1093/jjfinec/nbs016

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MLA

Vancouver

Author

Koopman, Siem Jan ; Scharth, Marcel. / The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. In: Journal of Financial Econometrics. 2013 ; Vol. 11, No. 1. pp. 76-115.

Bibtex

@article{fe0d5e408f1c40e6b681e39cfa9d2237,
title = "The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures",
author = "Koopman, {Siem Jan} and Marcel Scharth",
year = "2013",
doi = "10.1093/jjfinec/nbs016",
language = "English",
volume = "11",
pages = "76--115",
journal = "Journal of Financial Econometrics",
issn = "1479-8409",
publisher = "Oxford University Press",
number = "1",

}

RIS

TY - JOUR

T1 - The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures

AU - Koopman, Siem Jan

AU - Scharth, Marcel

PY - 2013

Y1 - 2013

U2 - 10.1093/jjfinec/nbs016

DO - 10.1093/jjfinec/nbs016

M3 - Journal article

VL - 11

SP - 76

EP - 115

JO - Journal of Financial Econometrics

JF - Journal of Financial Econometrics

SN - 1479-8409

IS - 1

ER -