Alfarano, Simone; Wagner, Friedrich; Milakovic, Mishael - In: Applied Financial Economics Letters 4 (2008) 5, pp. 311-314
We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is often adequate, but we do observe deviations from Gaussian noise for some...