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Título

Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data

AutorLopes Moreira da Veiga, Maria Helena
Palabras claveEfficient Method of Moments
Mean-Reversion
Persistent Volatility
Fecha de publicación21-sep-2003
SerieUFAE and IAE Working Papers
585.03
ResumenThis paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.
URIhttp://hdl.handle.net/10261/1838
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