RT Journal Article
T1 Estimation methods for stochastic volatility models: a survey
A1 Broto, Carmen
A1 Ruiz Ortega, Esther
AB Although 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.
PB Wiley-Blackwell
SN 0950-0804(print)
SN 1467-6419(online)
YR 2004
FD 2004
LK https://hdl.handle.net/10016/4917
UL https://hdl.handle.net/10016/4917
LA eng
DS e-Archivo
RD 1 jun. 2024