Modeling Stochastic Volatility with Application to Stock Returns

Modeling Stochastic Volatility with Application to Stock Returns
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean... READ MORE...

Publication date: June 2003
ISBN 9781451854848
$15.00

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