Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models
Year of publication: |
2018
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Authors: | Choi, Seungmoon |
Published in: |
KDI Journal of Economic Policy. - Sejong : Korea Development Institute (KDI), ISSN 2586-4130. - Vol. 40.2018, 4, p. 1-22
|
Publisher: |
Sejong : Korea Development Institute (KDI) |
Subject: | Continuous-time Stochastic Volatility Model | Integrated Volatility Proxy | Maximum Likelihood Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.23895/kdijep.2018.40.4.1 [DOI] hdl:10419/200829 [Handle] RePEc:zbw:kdijep:200829 [RePEc] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; c58 |
Source: |
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Comparison of the Korean and US stock markets using continuous-time stochastic volatility models
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