Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns.

A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns.

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Year of publication:	1996
Authors:	Harvey, Andrew C ; Shephard, Neil
Published in:	Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 14.1996, 4, p. 429-34
Publisher:	American Statistical Association

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005429990