A note on estimating stochastic volatility and its volatility: a new simple method
AbstractWe present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1212.0380.
Date of creation: Dec 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-ECM-2012-12-10 (Econometrics)
- NEP-ETS-2012-12-10 (Econometric Time Series)
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