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Are volatility indices in international stock markets forward looking?

✍ Scribed by María Teresa González; Alfonso Novales

Book ID
105732141
Publisher
Springer Milan
Year
2009
Tongue
English
Weight
276 KB
Volume
103
Category
Article
ISSN
1578-7303

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The stochastic volatility in mean model:
The stochastic volatility in mean model: empirical evidence from international stock markets
✍ Professor Siem Jan Koopman; Eugenie Hol Uspensky 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB 👁 2 views

## Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extens