EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
Year of publication: |
1998
|
---|---|
Authors: | van der Sluis, Pieter J. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Volatilität | Schätztheorie | Theorie |
Series: | Tinbergen Institute Discussion Paper ; 98-021/4 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 827109911 [GVK] hdl:10419/85567 [Handle] RePEc:dgr:uvatin:19980021 [RePEc] |
Source: |
-
Bayesian inference in a stochastic volatility Nelson-Siegel Model
Hautsch, Nikolaus, (2010)
-
The Empirical Performance of Option Based Densities of Foreign Exchange
Keller, Joachim G., (2002)
-
Hirvich, Clifford, (2003)
- More ...
-
van der Sluis, Pieter J., (1998)
-
Computationally Attractive Stability Tests for the Efficient Method of Moments
van der Sluis, Pieter J., (1997)
-
Post-Sample Prediction Tests for the Efficient Method of Moments
van der Sluis, Pieter J., (1997)
- More ...