Barndorff-Nielsen, Ole E.; Shephard, Neil Econometric analysis of realized volatility and its use in estimating stochastic volatility models. (English) Zbl 1059.62107 J. R. Stat. Soc., Ser. B, Stat. Methodol. 64, No. 2, 253-280 (2002). MSC: 62P05 62M20 62E20 62M99 PDFBibTeX XMLCite \textit{O. E. Barndorff-Nielsen} and \textit{N. Shephard}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 64, No. 2, 253--280 (2002; Zbl 1059.62107) Full Text: DOI
Chib, Siddhartha; Nardari, Federico; Shephard, Neil Markov chain Monte Carlo methods for stochastic volatility models. (English) Zbl 1099.62539 J. Econom. 108, No. 2, 281-316 (2002). MSC: 62P05 65C40 PDFBibTeX XMLCite \textit{S. Chib} et al., J. Econom. 108, No. 2, 281--316 (2002; Zbl 1099.62539) Full Text: DOI