Comparison of the GARCH and stochastic models: An application to the Mexican peso-us dollar exchange rate
Author:
Publisher
Universidad Nacional Autonoma de Mexico
Subject
General Business, Management and Accounting
Reference62 articles.
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2. Ait-Sahalia, Y., & Kimmel, R. (2007). Maximum likelihood estimation of stochastic volatility models. Journal of Financial Economics, 83, 413-452. https://doi.org/10.3386/w10579
3. Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716-723. https://doi.org/10.1007/978-1-4612-1694-0_16
4. Alzghool, R. (2017). Estimation for the stochastic volatility model: Quasi-likelihood and asymptotic quasi-likelihood approaches. Journal of King Saud University - Science, 29(1), 114-118. https://doi.org/10.1016/j.jksus.2016.06.004
5. Risk, Uncertainty, and Expected Returns;Bali;Journal of Financial and Quantitative Analysis,2016
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