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Mean reversion in international stock markets: An empirical analysis of the 20th century

โœ Scribed by Laura Spierdijk; Jacob A. Bikker; Pieter van den Hoek


Book ID
116659186
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
296 KB
Volume
31
Category
Article
ISSN
0261-5606

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The stochastic volatility in mean model:
โœ Professor Siem Jan Koopman; Eugenie Hol Uspensky ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 195 KB ๐Ÿ‘ 2 views

## 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