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Maximum likelihood estimation of mean reverting processes
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Maximum likelihood estimation of mean reverting processes
www.investmentscience.comMaximum likelihood estimation of mean reverting processes Jos e Carlos Garc a Franco Onward, Inc. jcpollo@onwardinc.com Abstract Mean reverting processes are frequently used models in …
Estimating stock market volatility using asymmetric GARCH ...
www.bgu.ac.ilDownloaded By: [Shalit, Haim] At: 17:29 22 July 2008 Applied Financial Economics, 2008, 18, 1201–1208 Estimating stock market volatility using asymmetric GARCH models