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Empirical validation of stochastic models of interacting agents

โœ Scribed by S. Alfarano; T. Lux; F. Wagner


Book ID
111622040
Publisher
Springer
Year
2006
Tongue
English
Weight
178 KB
Volume
55
Category
Article
ISSN
1434-6036

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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