Santaniello, Valerio (A.A. 2009/2010) Stochastic volatility models: the Harvey-Ruiz-Shepard model and the shifted power transformation. Tesi di Laurea in Serie storiche e modelli di previsione finanziaria, LUISS Guido Carli, relatore Tommaso Proietti, pp. 57. [Master's Degree Thesis]

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Abstract/Index

Why should we study stochastic volatility? The Origins of the Notion of Stochastic Volatility. The ARCH/GARCH Approach. Estimation and forecasting techniques. A Methodological Choice.Time Series and the Structural Models. ARIMA Models. The Link between the ARIMA and the Structural Approach. Reasons of Choosing the Structural Approach. The Kalman Filter and its Framework. The State Space Representation. The General Form of the Kalman Filter. The Convergence of the Kalman Filter. The Convergence of the Kalman Filter. The Initial Conditions of the Kalman Filter. The Uses of the Kalman Filter. Quasi-Maximum Likelihood Estimation. Prediction and Smoothing

References

Bibliografia: pp. 54-56.

Thesis Type:	Master's Degree Thesis
Institution:	LUISS Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (64/S)
Chair:	Serie storiche e modelli di previsione finanziaria
Thesis Supervisor:	Proietti, Tommaso
Thesis Co-Supervisor:	Olivieri, Gennaro
Academic Year:	2009/2010
Session:	Summer
Deposited by:	Users 1066 not found.
Date Deposited:	03 May 2011 18:27
Last Modified:	29 Sep 2015 13:32
URI:	https://tesi.luiss.it/id/eprint/3825

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