VOLATILITY MODELS
โ Scribed by KIMIO MORIMUNE
- Book ID
- 111102453
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 165 KB
- Volume
- 58
- Category
- Article
- ISSN
- 1352-4739
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In forecasting a ยฎnancial time series, the mean prediction can be validated by direct comparison with the value of the series. However, the volatility or variance can only be validated by indirect means such as the likelihood function. Systematic errors in volatility prediction have an `economic val
## 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