Estimate of a volatility's common component in ARSV models: a simulation study

DOI10.1080/00949655.2022.2152029OpenAlexW4313418606MaRDI QIDQ6050710

Francesca Di Iorio, Umberto Triacca

Publication date: 19 September 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2022.2152029

zbMATH Keywords

volatilitycommon componentreturnsgeneralized dynamic factor modelMonte-Carlo experiment

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Statistical methods in finance
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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