A class of stochastic volatility models for environmental applications
β Scribed by Wenying Huang; Ke Wang; F. Jay Breidt; Richard A. Davis
- Book ID
- 111040205
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 710 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the eects of the distribution of the exchange rate innovations for both parameter estimates and for estimates of the latent volatili
Volatility plays an important role in portfolio management and option pricing. Recently, there has been a growing interest in modeling volatility of the observed process by nonlinear stochastic process [S.J. Taylor, Asset Price Dynamics, Volatility, and Prediction, Princeton University Press, 2005;
## Abstract In regression model with stochastic design, the observations have been primarily treated as a simple random sample from a bivariate distribution. It is of enormous practical significance to generalize the situation to stochastic processes. In this paper, estimation and hypothesis testin