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    • UVA PUBLICATIONS
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    • Anales de estudios económicos y empresariales
    • Anales de estudios económicos y empresariales - 2008 - Num. 18
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    • Anales de estudios económicos y empresariales - 2008 - Num. 18
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    Por favor, use este identificador para citar o enlazar este ítem:http://uvadoc.uva.es/handle/10324/19810

    Título
    A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
    Autor
    Marmol, Francesc
    Pérez Espartero, AnaAutoridad UVA Orcid
    Reboredo Nogueira, Juan Carlos
    Editor
    Ediciones Universidad de ValladolidAutoridad UVA
    Año del Documento
    2008
    Documento Fuente
    Anales de estudios económicos y empresariales, 2008, N.18, pags.69-89
    Abstract
    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.
    Materias (normalizadas)
    Economía política
    Economía de empresa
    ISSN
    0213-7569
    Idioma
    spa
    URI
    http://uvadoc.uva.es/handle/10324/19810
    Derechos
    openAccess
    Collections
    • Anales de estudios económicos y empresariales - 2008 - Num. 18 [8]
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    Attribution-NonCommercial-NoDerivatives 4.0 InternationalExcept where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 International

    Universidad de Valladolid

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