The stochastic volatility in mean model:
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Professor Siem Jan Koopman; Eugenie Hol Uspensky
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Article
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2002
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John Wiley and Sons
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English
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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