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Asymmetry and Long Memory in Volatility Modelling

Asymmetry and Long Memory in Volatility Modelling
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-10KIER Discussion Paper726
Available onlineOther Libraries in Japan
  • Summary, etc.... the Efficient Importance Sampling technique to estimate the mod...
  • Subject Heading...rors efficient importance sampling

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper739
Available onlineOther Libraries in Japan
  • Summary, etc.... the efficient importance sampling method of Liesenfeld and Rich...
  • Subject Heading...cator function importance sampling numerical simulations

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
Paper文書・図像類
Asai, Manabu, McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-655
Other Libraries in Japan
  • Subject Heading...cator function importance sampling numerical simulations

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