Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda; … - In: The European Journal of Finance 17 (2011) 7, pp. 487-503
Volatility in financial time series is mainly analysed through two classes of models; the generalized autoregressive conditional heteroscedasticity (GARCH) models and the stochastic volatility (SV) ones. GARCH models are straightforward to estimate using maximum-likelihood techniques, while SV...