<--- Back to Details
First PageDocument Content
Stochastic volatility / Autoregressive conditional heteroskedasticity / Volatility / Maximum likelihood / Normal distribution / Estimation theory / Importance sampling / Time series / Markov switching multifractal / Statistics / Mathematical finance / Mathematical sciences
Date: 2003-04-20 17:47:41
Stochastic volatility
Autoregressive conditional heteroskedasticity
Volatility
Maximum likelihood
Normal distribution
Estimation theory
Importance sampling
Time series
Markov switching multifractal
Statistics
Mathematical finance
Mathematical sciences

TI[removed]Tinbergen Institute Discussion Paper The Stochastic Volatility in Mean Model

Add to Reading List

Source URL: papers.tinbergen.nl

Download Document from Source Website

File Size: 555,82 KB

Share Document on Facebook

Similar Documents

Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans∗ Martin Richter Carsten Sørensen

DocID: 1s2R7 - View Document

Using MCMC and particle filters to forecast stochastic volatility and jumps in financial time series Ing. Milan Fičura

DocID: 1s1Py - View Document

Economy / Mathematical finance / Statistics / Macroeconomics / Inflation / Prior probability / Stochastic volatility / Volatility / Standard deviation / Price index / The Humane Society of the United States

Measuring Price-Level Uncertainty and Instability in the U.S., ∗ Timothy Cogley†and Thomas J. Sargent‡ August 4, 2014 Abstract

DocID: 1rtJZ - View Document

Economy / Mathematical finance / Finance / Money / Stochastic volatility / Variance risk premium / Variance swap / VIX / Risk premium / Volatility / Equity premium puzzle / Implied volatility

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

DocID: 1rfOt - View Document

Mathematical finance / Applied mathematics / Economy / Academia / Volatility / Autoregressive conditional heteroskedasticity / Stochastic volatility / Implied volatility

Microsoft Word - EBVM13docx

DocID: 1raO6 - View Document