Factor stochastic volatility in mean models : a GMM approach
Catherine Doz; Eric Renault
| Year of publication: |
2006
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|---|---|
| Authors: | Doz, Catherine ; Renault, Eric |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 25.2006, 2/3, p. 275-309
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| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Heteroskedastizität | Heteroscedasticity | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003355766