A nonparametric approach tothe noise density in stochastic volatility models
We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is often adequate, but we do observe deviations from Gaussian noise for some assets, for instance gold.
Year of publication: |
2008
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Authors: | Alfarano, Simone ; Wagner, Friedrich ; Milakovic, Mishael |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 4.2008, 5, p. 311-314
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Publisher: |
Taylor and Francis Journals |
Saved in:
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