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Research Article

Estimate of a volatility's common component in ARSV models: a simulation study

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Pages 1734-1742 | Received 04 Oct 2022, Accepted 22 Nov 2022, Published online: 28 Dec 2022

References

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  • Taylor SJ. Modeling stochastic volatility: a review and comparative study. Math Finance. 1994;4(2):183–204.

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