Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects
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More about this item
Keywordsstochastic volatility; simulation-based estimation; model diagnostics;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
- NEP-ECM-2004-08-16 (Econometrics)
- NEP-ETS-2004-08-16 (Econometric Time Series)
- NEP-FIN-2004-08-16 (Finance)
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