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On generalised asymmetric stochastic volatility models

✍ Scribed by Georgios Tsiotas


Book ID
113557672
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
451 KB
Volume
56
Category
Article
ISSN
0167-9473

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Gamma stochastic volatility models
✍ Bovas Abraham; N. Balakrishna; Ranjini Sivakumar πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 256 KB

## Abstract This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the e