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Título
A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
Autor
Editor
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
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