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dc.contributor.authorAlfarano, Simone
dc.contributor.authorWagner, Friedrich
dc.contributor.authorMilakovic, Mishael
dc.date.accessioned2011-05-13T06:59:14Z
dc.date.available2011-05-13T06:59:14Z
dc.date.issued2008-09
dc.identifier.citationALFARANO, 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.issn1744-6546
dc.identifier.urihttp://hdl.handle.net/10234/22322
dc.description.abstractWe 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.extent10 p.
dc.language.isoeng
dc.publisherTaylor & Francis
dc.relation.isPartOfApplied financial economics letters, 2008, vol. 4, núm. 5
dc.rightsTaylor & Francis
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/*
dc.subjectStochastic volatility
dc.subjectNoise density
dc.subjectNonparametric
dc.subjectMoment ratio
dc.titleA Nonparametric approach to the noise density in stochastic volatility models
dc.typeinfo:eu-repo/semantics/article
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.type.versioninfo:eu-repo/semantics/publishedVersion


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