Proper Dispersion State Space Models for Stochastic Volatility

Paolo Vidoni

Scandinavian Journal of Statistics, 2001, vol. 28, issue 2, 271-281

Abstract: This paper introduces a fairly general class of state space models, based on the notion of a proper dispersion model and on a suitable Markovian assumption, which can be fruitfully employed for stochastic variance description. This class is obtained by translating to state space models a new mixing procedure, which generalizes the “studentization” technique of Jørgensen (1997a). A preliminary investigation of the corresponding statistical properties is given and simple examples are presented.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/1467-9469.00236

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:28:y:2001:i:2:p:271-281

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().