Persistence and Kurtosis in GARCH and Stochastic Volatility Models
نویسندگان
چکیده
منابع مشابه
Continuous Time Approximations to GARCH and Stochastic Volatility Models
We collect some continuous time GARCH models and report on how they approximate discrete time GARCH processes. Similarly, certain continuous time volatility models are viewed as approximations to discrete time volatility models. 1 Stochastic volatility models and discrete GARCH Both stochastic volatility models and GARCH processes are popular models for the description of financial time series....
متن کاملRanking and Combining Volatility Proxies for GARCH and Stochastic Volatility Models
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متن کاملRanking and Combining Volatility Proxies for GARCH and Stochastic Volatility Models
Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: http://uba.uva.nl/en/contact, or a letter to: Library of ...
متن کاملRanking and Combining Volatility Proxies for GARCH and Stochastic Volatility Models
Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: http://uba.uva.nl/en/contact, or a letter to: Library of ...
متن کاملRanking and Combining Volatility Proxies for GARCH and Stochastic Volatility Models
Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: http://uba.uva.nl/en/contact, or a letter to: Library of ...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2004
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbh012