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A contribution to the systematics of stochastic volatility models

✍ Scribed by František Slanina


Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
339 KB
Volume
389
Category
Article
ISSN
0378-4371

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State-space stochastic volatility models
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Stochastic volatility models (SVMs) represent an important framework for the analysis of financial time series data, together with ARCH-type models; but unlike the latter, the former, at least from the statistical point of view, cannot rely on the possibility of obtaining exact inference, in particu