RT info:eu-repo/semantics/article
T1 A computationally efficient method for obtaining smoothed volatilities in long-memory stochastic volatility models
A1 Marmol, Francesc
A1 Pérez Espartero, Ana
A1 Reboredo Nogueira, Juan Carlos
A2 Ediciones Universidad de Valladolid
K1 Economía política
K1 Economía de empresa
AB 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.
SN 0213-7569
YR 2008
FD 2008
LK http://uvadoc.uva.es/handle/10324/19810
UL http://uvadoc.uva.es/handle/10324/19810
LA spa
NO Anales de estudios económicos y empresariales, 2008, N.18, pags.69-89
DS UVaDOC
RD 22-dic-2024