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:
INVESTIGACIONMetadata
Title
A Nonparametric approach to the noise density in stochastic volatility modelsDate
2008-09Publisher
Taylor & FrancisISSN
1744-6546Bibliographic 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. 311-314Type
info:eu-repo/semantics/articleVersion
info:eu-repo/semantics/publishedVersionSubject
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 ... [+]
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 [-]
Is part of
Applied financial economics letters, 2008, vol. 4, núm. 5Rights
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- ECO_Articles [694]