Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence
β Scribed by Marjorie A. Flavin
- Book ID
- 125529035
- Publisher
- University of Chicago Press
- Year
- 1983
- Tongue
- English
- Weight
- 622 KB
- Volume
- 91
- Category
- Article
- ISSN
- 0022-3808
- DOI
- 10.2307/1831198
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## 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
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stoc