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A note on estimating stochastic volatility and its volatility: a new simple method


  • Moawia Alghalith


We 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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  • Moawia Alghalith, 2012. "A note on estimating stochastic volatility and its volatility: a new simple method," Papers 1212.0380,
  • Handle: RePEc:arx:papers:1212.0380

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    1. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    2. Esmaeili, Habib & Kl├╝ppelberg, Claudia, 2010. "Parameter estimation of a bivariate compound Poisson process," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 224-233, October.
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