مرکز منطقه ای اطلاع رساني علوم و فناوري - Maximum likelihood estimation of stochastic volatility models

Title of article :

Maximum likelihood estimation of stochastic volatility models

Author/Authors :

Yacine A?¨t-Sahalia، نويسنده , , Robert Kimmel، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

413

To page :

452

Keywords :

CEV model , Heston model , GARCH model , Volatility proxies , Closed-form likelihood expansions

Journal title :

Journal of Financial Economics

Serial Year :

2007

Journal title :

Journal of Financial Economics

Record number :

257896

Link To Document :