haku: @journal_id 1676 / yhteensä: 53
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| Tekijä: | Solibakke, P. B. |
| Otsikko: | A stochastic volatility model specification with diagnostics for thinly traded equity markets |
| Lehti: | Journal of Multinational Financial Management
2001 : OCT-DEC, VOL. 11:4-5, p. 385-406 |
| Asiasana: | HETEROSCEDASTICITY STOCHASTIC PROCESSES STOCK MARKETS VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | The majority of world equity markets exhibit non-synchronous- and non-trading for some quoted asset series. This investigation sets out to determine the complexity of illiquid markets applying versions of stochastic differential equation (SDE) spesifications. Efficient method of moments (EMM) is used to estimate and evaluate the diffusion models. |
SCIMA