Please use this identifier to cite or link to this item:
Type: Artigo
Title: GMC/GEL estimation of stochastic volatility models
Author: Laurini, Márcio Poletti
Hotta, Luiz Koodi
Abstract: In this article we discuss the estimation of stochastic volatility (SV) using generalized empirical likelihood/minimum contrast methods based on moment conditionsmodels. We show via Monte Carlo simulations that the proposed methods have superior or equivalent performance to the other alternative methods, and, additionally, they offer robustness properties in the presence of heavy-tailed distributions and outliers.
Subject: Volatilidade (Finanças)
Sistemas estocásticos
Estatística robusta
Método de Monte Carlo
Country: Estados Unidos
Editor: Taylor & Francis
Rights: fechado
Identifier DOI: 10.1080/03610918.2016.1213282
Date Issue: 2017
Appears in Collections:IMECC - Artigos e Outros Documentos

Files in This Item:
File SizeFormat 
000418384300009.pdf616.77 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.