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Proper Dispersion State Space Models for Stochastic Volatility
Author(s) -
Vidoni Paolo
Publication year - 2001
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00236
Subject(s) - mathematics , state space , mixing (physics) , statistical physics , stochastic volatility , class (philosophy) , volatility (finance) , dispersion (optics) , variance (accounting) , stochastic modelling , markov process , space (punctuation) , mathematical economics , econometrics , statistics , computer science , artificial intelligence , physics , accounting , quantum mechanics , optics , business , operating system
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.