Stochastic volatility: likelihood inference and comparison with ARCH models.
| Authors: | Kim, Sangjoon ; Shephard, Neil ; Chib, Siddhartha |
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| Institutions: | Economics Group, Nuffield College, University of Oxford |
freely available
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Number W26, revised version of W3 |
| Source: |
Persistent link: https://www.econbiz.de/10005730276