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

Título

dc.contributor.author	Marmol, Francesc
dc.contributor.author	Pérez Espartero, Ana
dc.contributor.author	Reboredo Nogueira, Juan Carlos
dc.contributor.editor	Ediciones Universidad de Valladolid	es
dc.date.accessioned	2016-10-10T12:35:34Z
dc.date.available	2016-10-10T12:35:34Z
dc.date.issued	2008
dc.identifier.citation	Anales de estudios económicos y empresariales, 2008, N.18, pags.69-89
dc.identifier.issn	0213-7569
dc.identifier.uri	http://uvadoc.uva.es/handle/10324/19810
dc.description.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.
dc.format.mimetype	application/pdf
dc.language.iso	spa
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.source	Anales de estudios económicos y empresariales
dc.subject	Economía política
dc.subject	Economía de empresa
dc.title	A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
dc.type	info:eu-repo/semantics/article
dc.identifier.publicationfirstpage	69
dc.identifier.publicationissue	18
dc.identifier.publicationlastpage	89
dc.rights	Attribution-NonCommercial-NoDerivatives 4.0 International

Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 International