مرکز منطقه ای اطلاع رساني علوم و فناوري - Approximating volatility diffusions with CEV-ARCH models

Title of article :

Approximating volatility diffusions with CEV-ARCH models

Author/Authors :

Fabio Fornari، نويسنده , , Antonio Mele، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

931

To page :

966

Keywords :

stochastic volatility , ARCH filtering , Indirect inference

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2006

Journal title :

Journal of Economic Dynamics and Control

Record number :

238910

Link To Document :