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Stochastic volatility and DSGE models

✍ Scribed by Martin M. Andreasen


Book ID
116422558
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
143 KB
Volume
108
Category
Article
ISSN
0165-1765

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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