A closed-form solution for the stochastic volatility model with applications on international stock markets
Yanlin Shi
| Year of publication: |
2023
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|---|---|
| Authors: | Shi, Yanlin |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 74.2023, 4, p. 1183-1197
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| Subject: | closed-form solution | maximum likelihood estimation | Stochastic volatility | value-at-risk analysis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Aktienmarkt | Stock market | Schätztheorie | Estimation theory | Börsenkurs | Share price | Risikomaß | Risk measure | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2022.2070037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014334888