Estimation and identification in long-memory stochastic volatility models

Estimation and identification in long-memory stochastic volatility models
Author: Ana Perez Espartero
Publisher:
Total Pages: 0
Release: 2000
Genre:
ISBN:


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Estimation and identification in long-memory stochastic volatility models
Language: en
Pages: 0
Authors: Ana Perez Espartero
Categories:
Type: BOOK - Published: 2000 - Publisher:

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On Estimation, Diagnostic Testing and Smoothing of Long Memory Stochastic Volatility Models
Language: en
Pages: 35
Authors: Kai Li
Categories: Rate of return
Type: BOOK - Published: 2000 - 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
Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
Language: en
Pages: 0
Authors: Adam McCloskey
Categories:
Type: BOOK - Published: 2013 - Publisher:

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I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used t
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Language: en
Pages:
Authors: Shelton Peiris
Categories:
Type: BOOK - Published: 2016 - Publisher:

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