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methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
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Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the …
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