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A link between complete models with stochastic volatility and ARCH models

✍ Scribed by Thierry Jeantheau

Publisher
Springer-Verlag
Year
2004
Tongue
English
Weight
253 KB
Volume
8
Category
Article
ISSN
0949-2984

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πŸ“œ SIMILAR VOLUMES

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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