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In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011303314
returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …
Persistent link: https://www.econbiz.de/10011304384