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Estimation of Stochastic Volatility Models

  • Francesco Bartolucci
  • Giovanni De Luca
Part of the Applied Optimization book series (APOP, volume 74)

Abstract

The stochastic volatility model and the problems related to their estimation are considered. After reviewing the most popular estimation procedures, it is illustrated how to overcome the difficulty of evaluating and maximizing the likelihood, a high-dimensional integral, using a quadrature method. The technique is applied to a number of stock exchange indexes, and a comparison with the class of competitor ARCH-type models is carried out.

Keywords

High-dimensional integral Quadrature Stock index 

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Copyright information

© Springer Science+Business Media Dordrecht 2002

Authors and Affiliations

  • Francesco Bartolucci
    • 1
  • Giovanni De Luca
    • 2
  1. 1.Dipartimento di Scienze StatisticheUniversità di PerugiaItaly
  2. 2.Dipartimento di Economie, Società e Istituzioni, sezione StatisticaUniversità di VeronaItaly

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