English, Article edition: A nonparametric approach tothe noise density in stochastic volatility models Simone Alfarano; Friedrich Wagner; Mishael Milakovic

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/50768
Physical Description
  • article
Language
  • English

Edition details

Title
  • A nonparametric approach tothe noise density in stochastic volatility models
Author
  • Simone Alfarano
  • Friedrich Wagner
  • Mishael Milakovic
Physical Description
  • article
Notes
  • We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is often adequate, but we do observe deviations from Gaussian noise for some assets, for instance gold.
  • RePEc:taf:apfelt:v:4:y:2008:i:5:p:311-314
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment