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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, UK.

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Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2001 P M Robinson
Divisions: Economics
STICERD
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
Date Deposited: 27 Apr 2007
Last Modified: 22 Jan 2024 02:33
URI: http://eprints.lse.ac.uk/id/eprint/2298

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