Danilo Delpini

Università degli Studi di Sassari - Department of Economics and Business

via Muroni 25

Sassari, Sassari 07100

Italy

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Scholarly Papers (1)

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Stochastic Volatility with Heterogeneous Time Scales

Number of pages: 21 Posted: 31 May 2012 Last Revised: 03 Apr 2013
Danilo Delpini and Giacomo Bormetti
Università degli Studi di Sassari - Department of Economics and Business and University of Bologna - Department of Mathematics
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Abstract:

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Continuous Time Stochastic Volatility, Long Memory, Generalized Methods of Moments