𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Simulated Likelihood Approximations for Stochastic Volatility Models

✍ Scribed by Helle Sørensen

Book ID
108536216
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
255 KB
Volume
30
Category
Article
ISSN
0303-6898

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Recursive estimation for continuous time
Recursive estimation for continuous time stochastic volatility models
✍ H. Gong; A. Thavaneswaran 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 401 KB

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;

Testing for jumps in the stochastic vola
Testing for jumps in the stochastic volatility models
✍ Masahito Kobayashi 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 255 KB

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation term follows the normal and Student t-distributions. The tested null hypothesis is that the jump density has zero variance, which is expressed