Browsing Theses by Subject "Autoregressive process with Stochastic Volatility errors"
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Stochastic Volatility Models and Simulated Maximum Likelihood Estimation
(University of Waterloo, 2011-08-02)Financial time series studies indicate that the lognormal assumption for the return of an underlying security is often violated in practice. This is due to the presence of time-varying volatility in the return series. The ...