## 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
β¦ LIBER β¦
Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model
β Scribed by Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide
- Book ID
- 120426241
- Publisher
- Taylor and Francis Group
- Year
- 2006
- Tongue
- English
- Weight
- 220 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0960-3107
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