On the applicability of stochastic volatility models

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2210-2217

  Suk Kim, Myung ^a   Wang, Suojin ^b  

^a Sogang University   (South Korea)

^b TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Bayesian inference; Drift function; Runs test; Short interest rate; Stochastic volatility model; Stochastic volatility model with jumps; US Treasury Bill yields

Indexed keywords

CORRELATION METHODS; DATA REDUCTION; ERROR ANALYSIS; MATHEMATICAL MODELS; REGRESSION ANALYSIS;

BAYESIAN INFERENCE; DRIFT FUNCTIONS; RUNS TEST; SHORT INTEREST RATES; STOCHASTIC VOLATILITY MODELS; US TREASURY BILL;

STOCHASTIC CONTROL SYSTEMS;

EID: 33751004994     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.08.002     Document Type: Article

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