dc.contributor.author | Raknerud, Arvid | |
dc.contributor.author | Skare, Øivind | |
dc.date.accessioned | 2010-11-16T14:26:08Z | |
dc.date.available | 2010-11-16T14:26:08Z | |
dc.date.issued | 2009 | |
dc.identifier.issn | 0809-733X | |
dc.identifier.uri | http://hdl.handle.net/11250/179987 | |
dc.description.abstract | This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference methods: First, a quasi-likelihood for the actual data is estimated. This quasi-likelihood is based on an approximative Gaussian state space representation of the OU-based model. Next, simulations are made from the data generating OU-model for given parameter values. The indirect inference estimator is the parameter value in the OU-model which gives the best "match" between the quasi-likelihood estimator for the actual data and the quasi-likelihood estimator for the simulated data. Our method is applied to Euro/NOK and US Dollar/NOK daily exchange rates for the period 1.7.1989 until 15.12.2008. Accompanying R-package, that interfaces C++ code is documented and can be downloaded. | en_US |
dc.description.sponsorship | Financial support from the Norwegian Research Council ("Finansmarkedsfondet") is gratefully acknowledged. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Statistics Norway, Research Department | en_US |
dc.relation.ispartofseries | Discussion Papers;601 | |
dc.subject | Stochastic volatility | en_US |
dc.subject | Financial econometrics | en_US |
dc.subject | Ornstein-Uhlenbeck processes | en_US |
dc.subject | Indirect inference | en_US |
dc.subject | State space models | en_US |
dc.subject | Exchange rates | en_US |
dc.subject | Financial markets | en_US |
dc.subject | Pengemarked | en_US |
dc.subject | Økonometri | en_US |
dc.subject | Kvantitative metoder | en_US |
dc.subject | Valutakurser | en_US |
dc.subject | Statistiske metoder | en_US |
dc.subject | JEL classification: C13 | en_US |
dc.subject | JEL classification: C22 | en_US |
dc.subject | JEL classification: C51 | en_US |
dc.subject | JEL classification: G10 | en_US |
dc.title | Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes | en_US |
dc.type | Working paper | en_US |
dc.subject.nsi | VDP::Social science: 200::Economics: 210::Econometrics: 214 | en_US |
dc.source.pagenumber | 37 | en_US |