A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
Year of publication: |
2009
|
---|---|
Authors: | Mármol, Francesc ; Pérez, Ana ; Reboredo, Juan Carlos |
Published in: |
Anales de estudios económicos y empresariales. - Valladolid, ISSN 0213-7569, ZDB-ID 616746-9. - Vol. 18.2008, p. 69-89
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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