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gregorkastner / stochvol

Partial re-write of the R package stochvol to allow for asymmetry (leverage).
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high-frequency data #14

Closed waynelapierre closed 2 years ago

waynelapierre commented 3 years ago

Is it appropriate to use this stochvol package with high-frequency financial data, such as tick-by-tick exchange rate return?

hdarjus commented 3 years ago

Not directly, no. However, if you can account for intraday microstructure through some additional hierarchy, then you can use one of svsample_fast_cpp (without leverage effect) or svsample_general_cpp (with leverage effect) for sampling the SV part. A good starting point can be 10.1016/J.CSDA.2008.07.039.