Moments structure of ℓ 1 -stochastic volatility models
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References listed on IDEAS
- Cătălin Stărică & Clive Granger, 2005. "Nonstationarities in Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 503-522, August.
- Sardy, Sylvain & Tseng, Paul, 2004. "On the Statistical Analysis of Smoothing by Maximizing Dirty Markov Random Field Posterior Distributions," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 191-204, January.
- Stephen J. Taylor, 1994. "Modeling Stochastic Volatility: A Review And Comparative Study," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 183-204.
- Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
More about this item
KeywordsStochastic volatility model; Laplace innovations; Autocovariance function; Variance gamma model; C22;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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