Pinho, Frank M. de; Santos, Thiago R. dos - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 107-126
This paper estimates the volatility of most important European stock market indices during the global financial crisis started in 2008, such as DAX, CAC40, FTSE100, among others. The estimation of volatility is made from a new family of stochastic volatility models proposed by Santos, Franco,...