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

S.J. Koopman, M. Scharth

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages45
Publication statusPublished - 2011

Publication series

NameTI Discusion Papers
No.11-132/4

Cite this

Koopman, S. J., & Scharth, M. (2011). The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures. (TI Discusion Papers; No. 11-132/4). Amsterdam: Tinbergen Institute.
Koopman, S.J. ; Scharth, M. / The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures. Amsterdam : Tinbergen Institute, 2011. (TI Discusion Papers; 11-132/4).
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Koopman, SJ & Scharth, M 2011 'The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures' TI Discusion Papers, no. 11-132/4, Tinbergen Institute, Amsterdam.

The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures. / Koopman, S.J.; Scharth, M.

Amsterdam : Tinbergen Institute, 2011. (TI Discusion Papers; No. 11-132/4).

Research output: Working paperProfessional

TY - UNPB

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

AU - Koopman, S.J.

AU - Scharth, M.

PY - 2011

Y1 - 2011

M3 - Working paper

T3 - TI Discusion Papers

BT - The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures

PB - Tinbergen Institute

CY - Amsterdam

ER -

Koopman SJ, Scharth M. The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures. Amsterdam: Tinbergen Institute. 2011. (TI Discusion Papers; 11-132/4).