Efficient estimation of the stochastic volatility model by the empirical characteristic function method
John L. Knight; Stephen E. Satchell; Jun Yu
| Year of publication: |
1999
|
|---|---|
| Authors: | Knight, John L. ; Satchell, Stephen ; Yu, Jun |
| Publisher: |
Auckland |
| Subject: | Mikroökonometrie | Microeconometrics | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Schätzung | Estimation | Theorie | Theory |
| Extent: | 29 S graph. Darst |
|---|---|
| Series: | Working paper series / Department of Economics, Auckland Business School, The University of Auckland. - Auckland, ISSN 1174-0884, ZDB-ID 2474229-6. - Vol. 199 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001435264