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.
| Autori principali: | , |
|---|---|
| Natura: | Journal article |
| Lingua: | English |
| Pubblicazione: |
1996
|