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Proper Dispersion State Space Models for Stochastic Volatility

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  • Paolo Vidoni

Abstract

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.

Suggested Citation

  • Paolo Vidoni, 2001. "Proper Dispersion State Space Models for Stochastic Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(2), pages 271-281, June.
    • Handle: RePEc:bla:scjsta:v:28:y:2001:i:2:p:271-281
    DOI: 10.1111/1467-9469.00236
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    Cited by:

    1. Vidoni Paolo, 2004. "Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-20, May.

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