Stochastic Volatility Models and Simulated Maximum Likelihood Estimation
Financial time series studies indicate that the lognormal assumption for the return of an underlying security is often violated in practice. This is due to the presence of time-varying volatility in the return series. The most common departures are due to a fat left-tail of the return distribution,...
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| Language: | en |
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2011
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| Online Access: | http://hdl.handle.net/10012/6045 |