Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Australian Statistical Publishing Association Inc. in its journal Australian & New Zealand Journal of Statistics.
Volume (Year): 44 (2002)
Issue (Month): 3 (09)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1369-1473
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Carmen Broto & Esther Ruiz, 2002.
"Estimation Methods For Stochastic Volatility Models: A Survey,"
Statistics and Econometrics Working Papers
ws025414, Universidad Carlos III, Departamento de Estadística y Econometría.
- Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
- Kotchoni, Rachidi, 2012.
"Applications of the characteristic function-based continuum GMM in finance,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(11), pages 3599-3622.
- Rachidi Kotchoni, 2012. "Applications of the Characteristic Function Based Continuum GMM in Finance," Post-Print hal-00867795, HAL.
- Dinghai Xu & John Knight & Tony S. Wirjanto, 2008.
"Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach","
08007, University of Waterloo, Department of Economics.
- Dinghai Xu & John Knight & Tony S. Wirjanto, 2011. "Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 469-488, Summer.
- Emanuele Taufer, 2008. "Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes," DISA Working Papers 0805, Department of Computer and Management Sciences, University of Trento, Italy, revised 07 Jul 2008.
- Taufer, Emanuele & Leonenko, Nikolai & Bee, Marco, 2011.
"Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 55(8), pages 2525-2539, August.
- Emanuele Taufer & Nikolai Leonenko & Marco Bee, 2009. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," DISA Working Papers 0907, Department of Computer and Management Sciences, University of Trento, Italy, revised 02 Dec 2009.
- Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer, vol. 37(2), pages 216-239, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.