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An empirically based stochastic model

โœ Scribed by Donald Lehman


Book ID
119080463
Publisher
Elsevier Science
Year
1976
Tongue
English
Weight
561 KB
Volume
4
Category
Article
ISSN
0148-2963

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An empirical application of stochastic v
โœ Ronald J. Mahieu; Peter C. Schotman ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 335 KB ๐Ÿ‘ 2 views

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