Showing 1 - 10 of 8,139
Persistent link: https://www.econbiz.de/10009779281
Persistent link: https://www.econbiz.de/10013532430
Persistent link: https://www.econbiz.de/10011563542
Persistent link: https://www.econbiz.de/10011650223
Persistent link: https://www.econbiz.de/10014334888
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 …) models, known as the ARCH in Mean (ARCH-M)model. The estimation of ARCH models isrelatively easy compared with that of the …
Persistent link: https://www.econbiz.de/10011303314
Persistent link: https://www.econbiz.de/10012129515
Persistent link: https://www.econbiz.de/10000953379
Persistent link: https://www.econbiz.de/10009741196
Persistent link: https://www.econbiz.de/10008839925