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Convergence of the empirical mean method in statistics and stochastic programming

โœ Scribed by V. I. Norkin


Publisher
Springer US
Year
1992
Tongue
English
Weight
864 KB
Volume
28
Category
Article
ISSN
1573-8337

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The stochastic volatility in mean model:
โœ Professor Siem Jan Koopman; Eugenie Hol Uspensky ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 195 KB ๐Ÿ‘ 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