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Further empirical evidence on stochastic volatility models with jumps in returns

✍ Scribed by Ana González-Urteaga

Book ID
119373222
Publisher
Elsevier
Year
2012
Tongue
English
Weight
417 KB
Volume
10
Category
Article
ISSN
2173-1268

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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