New methods of estimating stochastic volatility and the stock return

We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

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Year of publication:	2010-01-28
Authors:	Alghalith, Moawia
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	portfolio \| investment \| stock \| stochastic volatility

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C13 - Estimation ; G12 - Asset Pricing ; G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008623472