Parameter estimation for a stochastic volatility model with coupled additive and multiplicative noise

Parameter estimation for a stochastic volatility model with coupled additive and multiplicative noise
Author: Ibukun O.O. Amusan
Publisher:
Total Pages: 0
Release: 2013
Genre:
ISBN:


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Parameter estimation for a stochastic volatility model with coupled additive and multiplicative noise
Language: en
Pages: 0
Authors: Ibukun O.O. Amusan
Categories:
Type: BOOK - Published: 2013 - Publisher:

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Parameter Estimation in Stochastic Volatility Models
Language: en
Pages: 634
Authors: Jaya P. N. Bishwal
Categories: Mathematics
Type: BOOK - Published: 2022-08-06 - Publisher: Springer Nature

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This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While
Stochastic Volatility and Realized Stochastic Volatility Models
Language: en
Pages: 120
Authors: Makoto Takahashi
Categories: Business & Economics
Type: BOOK - Published: 2023-04-18 - Publisher: Springer Nature

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This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for esti
Simulation and Parameter Estimation of Stochastic Volatility Models
Language: en
Pages: 33
Authors:
Categories:
Type: BOOK - Published: 2006 - Publisher:

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Modeling Stochastic Volatility with Application to Stock Returns
Language: en
Pages: 30
Authors: Mr.Noureddine Krichene
Categories: Business & Economics
Type: BOOK - Published: 2003-06-01 - Publisher: International Monetary Fund

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A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Ca