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The memory of stochastic volatility models

Robinson, Peter M. (2001) The memory of stochastic volatility models. Econometrics; EM/2001/410, EM/01/410. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Identification Number: EM/01/410
Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2001 P M Robinson
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 27 Apr 2007
Last Modified: 01 Oct 2010 08:47
URI: http://eprints.lse.ac.uk/id/eprint/2298

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