Search Results for author: Roxana Halbleib

Found 2 papers, 1 papers with code

Sequential Estimation of Multivariate Factor Stochastic Volatility Models

no code implementations • 14 Feb 2023 • Giorgio Calzolari, Roxana Halbleib, Christian Mücher

We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures.

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Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models

1 code implementation • 22 Dec 2022 • Timo Dimitriadis, Roxana Halbleib, Jeannine Polivka, Jasper Rennspies, Sina Streicher, Axel Friedrich Wolter

This paper analyzes the benefits of sampling intraday returns in intrinsic time for the standard and pre-averaging realized variance (RV) estimators.

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