Listar ECO_Articles por fuente "Applied financial economics letters, 2008, vol. 4, núm. 5"
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A Nonparametric approach to the noise density in stochastic volatility models
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 ...