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Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence

✍ Scribed by Nicholas Sarantis

Book ID: 114174671
Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 596 KB
Volume: 17
Category: Article
ISSN: 0169-2070
DOI: 10.1016/s0169-2070(01)00093-0

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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