The paper proposes two estimation approaches for duration models that are subject to right censored observations and …

The paper proposes two estimation approaches for duration models that are subject to right censored observations and …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …