Showing 1 - 10 of 337
Persistent link: https://www.econbiz.de/10003285703
Persistent link: https://www.econbiz.de/10010391842
-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …
Persistent link: https://www.econbiz.de/10009634376
Persistent link: https://www.econbiz.de/10001155509
Persistent link: https://www.econbiz.de/10001171692
Persistent link: https://www.econbiz.de/10001235298
Persistent link: https://www.econbiz.de/10001378966
Persistent link: https://www.econbiz.de/10001092149
Persistent link: https://www.econbiz.de/10013382546
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817