A Nonparametric approach to the noise density in stochastic volatility models
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
A Nonparametric approach to the noise density in stochastic volatility modelsFecha de publicación
2008-09Editor
Taylor & FrancisISSN
1744-6546Cita bibliográfica
ALFARANO, Simone; WAGNER, Friedrich; MILAKOVIC, Mishael. A Nonparametric approach to the noise density in stochastic volatility models. Applied financial economics letters, 2008, vol. 4, núm. 5, p. 311-314Tipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
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 ... [+]
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 assets, for instance gold [-]
Publicado en
Applied financial economics letters, 2008, vol. 4, núm. 5Derechos de acceso
Aparece en las colecciones
- ECO_Articles [693]