Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
The stochastic volatility model has no closed form for its likelihood and hence the maximum likelihood estimation method is difficult to implement. However, it can be shown that the model has a known characteristic function. As a consequence, the model is estimable via the empirical characteristic f...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2002
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/507 https://ink.library.smu.edu.sg/context/soe_research/article/1506/viewcontent/YuANZJS.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |