Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data.
Year of publication: |
2003-09-21
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Authors: | Veiga, Maria Helena Lopes Moreira da |
Institutions: | Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona |
Subject: | Efficient Method of Moments | One (Two) Factor Volatility Logarithmic Model | Mean-Reversion | Persistent Volatility | Feedback | Projection | Seminonparametric (SNP) | Reprojection |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 2 pages long |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C14 - Semiparametric and Nonparametric Methods ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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