The Stochastic Volatility in Mean model : Empirical evidence from international stock markets

  title={The Stochastic Volatility in Mean model : Empirical evidence from international stock markets},
  author={Siem Jan Koopman and Eugenie Hol Uspensky},
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extension is developed elsewhere for Autoregressive Conditional Heteroskedastic (ARCH) models, known as the ARCH in Mean (ARCH-M) model. The estimation of ARCH models is relatively easy compared with that of the… CONTINUE READING
Highly Cited
This paper has 40 citations. REVIEW CITATIONS
31 Citations
17 References
Similar Papers


Publications citing this paper.
Showing 1-10 of 31 extracted citations


Publications referenced by this paper.
Showing 1-10 of 17 references

Statistical Aspects of ARCH and Stochastic Volatility, in: Time Series Models in Econometrics

  • N. G. Shephard
  • Finance and Other Fields, Monographs on…
  • 1996
Highly Influential
5 Excerpts

Modeling Stochastic Volatility: A Review and Comparative Study, Mathematical Finance 4, 183-204

  • S. J. Taylor
  • Journal of Financial Economics
  • 1986
Highly Influential
5 Excerpts

The Econometrics of Financial Markets

  • J. Y. Campbell, A.C.A.W. Lo
  • MacKinlay
  • 1997

Modeling Volatility Dynamics, in: Macroeconometrics: Developments

  • F. X. Diebold, J.A
  • Tensions and Prospects,
  • 1995

The Simulation Smoother for Time Series Models

  • J. Danielsson
  • Biometrika
  • 1995

Bayesian Analysis of Stochastic Volatility Models (with discussion)

  • E. Jacquier, N. G. Polson, P. E. Rossi
  • Journal of Finance
  • 1994
2 Excerpts

Similar Papers

Loading similar papers…