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Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility · Study

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ChapterParameter Estimation and Practical Aspects of Modeling Stochastic Volatility

Borus Jungbacker2009

Chapter2009

Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility

Borus Jungbacker · Siem Jan Koopman

37 citations·0/0 files stored·Springer eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2007Modelling Financial Time Series 1994Multivariate Stochastic Variance Models

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2009Stochastic Volatility

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2005Volatility Forecastingreport · 14 shared references 2009Stochastic Volatility: Origins and Overviewchapter · 13 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 13 shared references 2009Applications of State Space Models in financebook · 13 shared references 2006Gamma stochastic volatility modelsarticle · 13 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 12 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-540-71297-8_13

openalex_workW172841601

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