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Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?

✍ Scribed by Sónia R. Bentes; Rui Menezes; Diana A. Mendes


Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
212 KB
Volume
387
Category
Article
ISSN
0378-4371

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The stochastic volatility in mean model:
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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