Estimation for stochastic volatility model: Quasi-likelihood and asymptotic quasi-likelihood approaches
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نویسنده
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alzghool r.
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منبع
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journal of king saud university - science - 2017 - دوره : 29 - شماره : 1 - صفحه:114 -118
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چکیده
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For estimation of the stochastic volatility model (svm),this paper suggests the quasi-likelihood (ql) and asymptotic quasi-likelihood (aql) methods. the ql approach is quite simple and does not require full knowledge of the likelihood functions of the svm. the aql technique is based on the ql method and is used when the covariance matrix σ is unknown. the aql approach replaces the true variance–covariance matrix σ by nonparametric kernel estimator of σ in ql. © 2016 the author
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کلیدواژه
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Asymptotic quasi-likelihood (AQL); Kernel estimator; Martingale difference; Quasi-likelihood (QL); Stochastic volatility model (SVM)
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آدرس
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department of basic sciences and humanities,college of engineering,university of dammam,saudi arabia,department of mathematics,faculty of science,al-balqa’ applied university, Jordan
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