Estimating stochastic volatility models with student-t distributed errors
This dissertation aims to extend on the idea of Bollerslev (1987), estimating ARCH models with Student-t distributed errors, to estimating Stochastic Volatility (SV) models with Student-t distributed errors. It is unclear whether Gaussian distributed errors sufficiently account for the observed lept...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Science
2020
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| Online Access: | http://hdl.handle.net/11427/32390 |