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00-024/4 - The Stochastic Volatility in Mean Model


  • Authors
    Siem Jan Koopman, Vrije Universiteit Amsterdam; Eugenie Hol Uspensky, University of Birmingham
  • Publication date
    March 30, 2000
  • Keywords
    Forecasting; GARCH; Simulated maximum likelihood; Stochastic volatility; Stock indices