Estimation of Continuous-Time Stochastic Volatility Models

This chapter reviews some of the key issues involved in estimating continuous-time stochastic volatility models. Such models have become popular recently because they provide a rich variety of alternative specifications which often lead to closed or semi-closed solutions in a variety of asset pricing applications. An empirical comparison of various stochastic volatility models is also undertaken, along with a discussion of some directions for future research

MoreLess

Year of publication:	[2008]
Authors:	Dotsis, George
Other Persons:	Markellos, Raphael N. (contributor) ; Mills, Terence C. (contributor)
Publisher:	[2008]: [S.l.] : SSRN

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (32 p)
Type of publication:	Book / Working Paper
Notes:	In: HANDBOOK OF ECONOMETRICS, Vol. 2, Palgrave, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 31, 2008 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012769229