Quasi-maximum likelihood estimation of stochastic volatility models
β Scribed by Esther Ruiz
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 905 KB
- Volume
- 63
- Category
- Article
- ISSN
- 0304-4076
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Institut f . u ur Mathematische Stochastik, Universit . a at G . o ottingen, Maschm . u uhlenweg 8-10, D-37073 G . o ottingen, Germany
Volatility plays an important role in portfolio management and option pricing. Recently, there has been a growing interest in modeling volatility of the observed process by nonlinear stochastic process [S.J. Taylor, Asset Price Dynamics, Volatility, and Prediction, Princeton University Press, 2005;
This paper deals with the problem of making inferences on the maximum radius and the intensity of the Poisson point process associated to a Boolean Model of circular primary grains with uniformly distributed random radii. The only sample information used is observed radii of circular clumps (DIJPAC,