Box-Cox stochastic volatility models with heavy-tails and correlated errors
Xibin Zhang; Maxwell L. King
| Year of publication: |
2008
|
|---|---|
| Authors: | Zhang, Xibin ; King, Maxwell L. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 15.2008, 3, p. 549-566
|
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003759632