Listar por tema "Stochastic volatility"

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    • openAccess   A Nonparametric approach to the noise density in stochastic volatility models 

      Alfarano, Simone; Wagner, Friedrich; Milakovic, Mishael Taylor & Francis (2008-09)
      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 ...