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...

Full description

Saved in:
Bibliographic Details
Main Authors: Knight, J., Satchell, S., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2002
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/507
https://ink.library.smu.edu.sg/context/soe_research/article/1506/viewcontent/YuANZJS.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Similar Items