Volatility extraction using the Kalman filter
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References listed on IDEAS
- Assar Lindbeck & Mats Persson, 2003.
"The Gains from Pension Reform,"
Journal of Economic Literature,
American Economic Association, pages 74-112.
- Lindbeck, Assar & Persson, Mats, 2002. "The Gains from Pension Reform," Working Paper Series 580, Research Institute of Industrial Economics.
- Lindbeck, Assar & Persson, Mats, 2002. "The Gains from Pension Reform," Seminar Papers 712, Stockholm University, Institute for International Economic Studies.
More about this item
Keywordsvolatility; stochastic volatility models; Kalman filter; volatility proxy;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-27 (All new papers)
- NEP-ECM-2008-06-27 (Econometrics)
- NEP-ETS-2008-06-27 (Econometric Time Series)
- NEP-ORE-2008-06-27 (Operations Research)
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