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An Eigenfunction Approach for Volatility Modeling

  • Meddahi, N.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-29.

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Length: 44 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:mtl:montec:2001-29
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  38. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  39. Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," Computing in Economics and Finance 1999 112, Society for Computational Economics.
  40. Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
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  48. Nelson, Daniel B., 1996. "A Note on the Normalized Errors in ARCH and Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 12(01), pages 113-128, March.
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  71. Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June.
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