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.
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
1996
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