Modeling Stochastic Volatility with Application to Stock Returns /

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consiste...

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Détails bibliographiques
Auteur principal: Krichene, Noureddine
Format: Revue
Langue:English
Publié: Washington, D.C. : International Monetary Fund, 2003.
Collection:IMF Working Papers; Working Paper ; No. 2003/125
Accès en ligne:Full text available on IMF