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:
INVESTIGACIONMetadades
Títol
A Nonparametric approach to the noise density in stochastic volatility modelsData de publicació
2008-09Editor
Taylor & FrancisISSN
1744-6546Cita bibliogràfica
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. 311-314Tipus de document
info:eu-repo/semantics/articleVersió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
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 [-]
Publicat a
Applied financial economics letters, 2008, vol. 4, núm. 5Drets d'accés
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