Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data
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KeywordsEfficient Method of Moments; One (Two) Factor Volatility Logarithmic Model; Mean-Reversion; Persistent Volatility; Feedback; Projection; Seminonparametric (SNP); Reprojection.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2003-09-28 (Corporate Finance)
- NEP-ETS-2003-09-28 (Econometric Time Series)
- NEP-FIN-2003-09-28 (Finance)
- NEP-FMK-2003-09-28 (Financial Markets)
- NEP-RMG-2003-09-28 (Risk Management)
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