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On the use of Quasi-Maximum Likelihood Estimation and Indirect Method for Stochastic Volatility models
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
2008 (English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

Stochastic volatility models have been focus for research in recent years.

One interesting and important topic has been the estimation procedure.

For a given stochastic volatility model this project aims to compare two

methods of parameter estimation.

Place, publisher, year, edition, pages
Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) , 2008.
Keywords [en]
QMLE, Indirect Method
Identifiers
URN: urn:nbn:se:hh:diva-1641Local ID: 2082/2022OAI: oai:DiVA.org:hh-1641DiVA, id: diva2:238859
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-06-25 Created: 2008-06-25 Last updated: 2009-10-26

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fulltext(865 kB)637 downloads
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File name FULLTEXT01.pdfFile size 865 kBChecksum MD5
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CiteExportLink to record
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