State-space stochastic volatility models
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Capobianco, Enrico
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Article
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1996
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John Wiley and Sons
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English
⚖ 904 KB
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