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...
| Príomhchruthaitheoir: | |
|---|---|
| Formáid: | IRIS |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Washington, D.C. :
International Monetary Fund,
2003.
|
| Sraith: | IMF Working Papers; Working Paper ;
No. 2003/125 |
| Rochtain ar líne: | Full text available on IMF |