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Estimation methods for stochastic volatility models: a survey

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorBroto, Carmen
dc.contributor.authorRuiz Ortega, Esther
dc.date.accessioned2009-07-31T10:35:50Z
dc.date.available2009-07-31T10:35:50Z
dc.date.issued2004
dc.description.abstractAlthough stochastic volatility (SV) models have an intuitive appeal, their empirical application has been limited mainly due to difficulties involved in their estimation. The main problem is that the likelihood function is hard to evaluate. However, recently, several new estimation methods have been introduced and the literature on SV models has grown substantially. In this article, we review this literature. We describe the main estimators of the parameters and the underlying volatilities focusing on their advantages and limitations both from the theoretical and empirical point of view. We complete the survey with an application of the most important procedures to the S&P 500 stock price index.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Economic Surveys, 2004, vol. 18, n. 5, p. 613-649
dc.identifier.doi10.1111/j.1467-6419.2004.00232.x
dc.identifier.issn0950-0804(print)
dc.identifier.issn1467-6419(online)
dc.identifier.urihttps://hdl.handle.net/10016/4917
dc.language.isoeng
dc.publisherWiley-Blackwell
dc.relation.isversionofhttp://hdl.handle.net/10016/186
dc.relation.publisherversionhttp://dx.doi.org/10.1111/j.1467-6419.2004.00232.x
dc.rights©Wiley-Blackwell
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.subject.otherBayesian procedures
dc.subject.otherGMM
dc.subject.otherIndirect inference
dc.subject.otherKalman filter
dc.subject.otherLeverage effect
dc.subject.otherLong-memory
dc.subject.otherMaximum likelihood
dc.subject.otherMonte Carlo Markov Chain
dc.subject.otherQML
dc.subject.otherSV-M
dc.titleEstimation methods for stochastic volatility models: a survey
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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