Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often … volatility model for theS&P500. …

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on …

tests are applied toan asymmetric stochastic volatility model for a series of daily observations of theS&P 500 index over … the years 1963-1993. Our results indicate that the asymmetricstochastic volatility models fails all stability tests. The …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …