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A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
dc.contributor.authorMarmol, Francesc
dc.contributor.authorPérez Espartero, Ana 
dc.contributor.authorReboredo Nogueira, Juan Carlos
dc.contributor.editorEdiciones Universidad de Valladolid es
dc.date.accessioned2016-10-10T12:35:34Z
dc.date.available2016-10-10T12:35:34Z
dc.date.issued2008
dc.identifier.citationAnales de estudios económicos y empresariales, 2008, N.18, pags.69-89
dc.identifier.issn0213-7569
dc.identifier.urihttp://uvadoc.uva.es/handle/10324/19810
dc.description.abstractWe 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.
dc.format.mimetypeapplication/pdf
dc.language.isospa
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.sourceAnales de estudios económicos y empresariales
dc.subjectEconomía política
dc.subjectEconomía de empresa
dc.titleA computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
dc.typeinfo:eu-repo/semantics/article
dc.identifier.publicationfirstpage69
dc.identifier.publicationissue18
dc.identifier.publicationlastpage89
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International


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