Maximum likelihood estimation of non-affine volatility processes
Year of publication: |
2011
|
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Authors: | Chourdakis, Kyriakos ; Dotsis, George |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 3, p. 533-545
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Subject: | Non-affine volatility | Integrated volatility | Volatility risk premium | Markov chain approximation | Volatilität | Volatility | Markov-Kette | Markov chain | Risikoprämie | Risk premium | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
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