On Estimation, Diagnostic Testing and Smoothing of Long Memory Stochastic Volatility Models

On Estimation, Diagnostic Testing and Smoothing of Long Memory Stochastic Volatility Models PDF book is popular Rate of return book written by Kai Li. The book was released by on 2000 with total hardcover pages 35. Fast download link is given in this page, you could read On Estimation, Diagnostic Testing and Smoothing of Long Memory Stochastic Volatility Models by Kai Li in PDF, epub and kindle directly from your devices.

On Estimation, Diagnostic Testing and Smoothing of Long Memory Stochastic Volatility Models

Released on 2000 by Kai Li

On Estimation, Diagnostic Testing and Smoothing of Long Memory Stochastic Volatility Models Book Detail
Author : Kai Li
Release Date : 2000
Publisher :
Genre : Rate of return
Pages : 35
ISBN 13 :
File Size : 43,43 MB

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Parameter Estimation in Stochastic Volatility Models

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This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While

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We propose to use a variant of the local polynomial Whittle estimator to estimate the memory parameter in volatility for long memory stochastic volatility model

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A Maximum Likelihood (ML) approach based upon an Efficient Importance Sampling (EIS) procedure is used to estimate several extensions of the standard Stochastic

On Estimation, Diagnostic Testing and Smoothing of Long Memory Stochastic Volatility Models