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Inference methods for stochastic volatility models

Author(s): M. Cavicchioli

Journal: International Mathematical Forum
ISSN 1312-7594

Volume: 8;
Issue: 8;
Start page: 369;
Date: 2013;
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Keywords: Stochastic Volatility | Generalized Least Squares | Kalman Filter

In the present paper we consider estimation procedures for stationaryStochastic Volatility models, making inferences about the latent volatilityof the process. We show that a sequence of generalized least squaresregressions enables us to determine the estimates. Finally, we makeinferences iteratively by using the Kalman Filter algorithm.
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