Veiga, Helena2006-11-092006-11-092006-01http://hdl.handle.net/10016/232This paper provides empirical evidence that continuous time models with one factor of volatility are, in some circumstances, able to fit the main characteristics of financial data and reports insights about the importance of introducing feedback factors for capturing the strong persistence caused by the presence of changes in the variance. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate and to select among logarithmic models with one and two stochastic volatility factors (with and without feedback).422619 bytesapplication/pdfengworking paperEstadísticaopen accessws060101