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Author Tauchen, George
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Stochastic Volatility ♦ General Equilibrium Analysis ♦ Recent Development ♦ Statistical Modelling ♦ Identi Cation Problem ♦ Jump Component Estimation ♦ Parametric Model ♦ Nancial Price Data ♦ General Equilibrium Aspect ♦ Various Technique ♦ High Frequency Data ♦ Clear Need ♦ Stochastic Volatility Model ♦ Nonparametric Volatility ♦ Parametric Continuous Time Model ♦ Recent Estimation ♦ Evy Process
Abstract The paper reviews ¯ndings from recent estimations using various techniques of parametric continuous time models for ¯nancial price data, and it highlights some of the identi¯cation problems. There is a clear need to make use of the high frequency data in estimation in order to break the identi¯cation problems. The evidence from nonparametric volatility and jump component estimation is used to conjecture the characteristics of a better ¯tting parametric model, though the estimation of that model, which would formidable, is deferred to the future. The paper also explores some recently proposed schemes to simulate from stochastic volatility models built up from L¶evy processes, and it considers some general equilibrium aspects of stochastic volatility.
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Publisher Date 2004-01-01