New methods of estimating stochastic volatility and the stock return
AbstractWe present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20303.
Date of creation: 28 Jan 2010
Date of revision:
portfolio; investment; stock; stochastic volatility;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-13 (All new papers)
- NEP-ECM-2010-02-13 (Econometrics)
- NEP-ETS-2010-02-13 (Econometric Time Series)
- NEP-ORE-2010-02-13 (Operations Research)
- NEP-RMG-2010-02-13 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alghalith, Moawia, 2008. "Recent applications of theory of the firm under uncertainty," European Journal of Operational Research, Elsevier, vol. 186(2), pages 443-450, April.
- Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654, December.
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