1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2023
Sequential Estimation of Multivariate Factor Stochastic Volatility Models
Giorgio Calzolari, Roxana Halbleib, Christian Mücher
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the…
econ.EM2022★ 1 cited
Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models
Timo Dimitriadis, Roxana Halbleib, Jeannine Polivka +3
This paper analyzes the benefits of sampling intraday returns in intrinsic time for the realized variance (RV) estimator. We theoretically show in finite samples that depending on…