A Nonparametric approach to the noise density in stochastic volatility models

dc.contributor.author	Alfarano, Simone
dc.contributor.author	Wagner, Friedrich
dc.contributor.author	Milakovic, Mishael
dc.date.accessioned	2011-05-13T06:59:14Z
dc.date.available	2011-05-13T06:59:14Z
dc.date.issued	2008-09
dc.identifier.citation	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. 311-314
dc.identifier.issn	1744-6546
dc.identifier.uri	http://hdl.handle.net/10234/22322
dc.description.abstract	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
dc.format.extent	10 p.
dc.language.iso	eng
dc.publisher	Taylor & Francis
dc.relation.isPartOf	Applied financial economics letters, 2008, vol. 4, núm. 5
dc.rights	Taylor & Francis
dc.rights.uri	http://rightsstatements.org/vocab/InC/1.0/	*
dc.subject	Stochastic volatility
dc.subject	Noise density
dc.subject	Nonparametric
dc.subject	Moment ratio
dc.title	A Nonparametric approach to the noise density in stochastic volatility models
dc.type	info:eu-repo/semantics/article
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.type.version	info:eu-repo/semantics/publishedVersion