2024-03-28T17:19:32Zhttp://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/198102021-06-30T07:01:53Zcom_10324_5191com_10324_5186com_10324_29291col_10324_5229
A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
Marmol, Francesc
Pérez Espartero, Ana
Reboredo Nogueira, Juan Carlos
Ediciones Universidad de Valladolid
Economía política
Economía de empresa
We provide a computationally e±cient method, based on Harvey (1998) proposal, to estimate the underlying volatility of asset returns using the Long-Memory Stochastic Volatility (LMSV ) model. The performance of our procedure is illustrated with an application to three series of daily exhange rates returns. A comparison of long memory GARCH-type volatilities with our smoothed ones is also presented.
2016-10-10T12:35:34Z
2016-10-10T12:35:34Z
2008
info:eu-repo/semantics/article
Anales de estudios económicos y empresariales, 2008, N.18, pags.69-89
0213-7569
http://uvadoc.uva.es/handle/10324/19810
69
18
89
spa
Attribution-NonCommercial-NoDerivatives 4.0 International
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
application/pdf
Anales de estudios económicos y empresariales
https://uvadoc.uva.es/bitstream/10324/19810/5/AEEE-2008-18-computationally-efficient-method.pdf.jpg
Hispana
TEXT
http://creativecommons.org/licenses/by-nc-nd/4.0/
UVaDOC. Repositorio Documental de la Universidad de Valladolid
http://uvadoc.uva.es/handle/10324/19810