Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions-Reference-Cited by-同舟云学术

Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions

Author:

Abanto-Valle Carlos A.¹,Langrock Roland²,Chen Ming-Hui³,Cardoso Michel V.¹

Affiliation:

1. Department of Statistics; Federal University of Rio de Janeiro; Caixa Postal 68530 Rio de Janeiro CEP: 21945-970 Brazil

2. Department of Business Administration and Economics; Bielefeld University; Postfach 10 01 31 Bielefeld 33501 Germany

3. Department of Statistics; University of Connecticut; U-4120 Storrs 06269 CT U.S.A.

Funder

Comissão de Aperfeiçoamento de Pessoal de Nível Superior de Pessoal

US NIH

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference34 articles.

3. The variation of certain speculative prices;Mandelbrot;Journal of Business,1963

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