Multivariate Stochastic Variance Models.

Changes in variance, or volatility, over time can be modeled using the approach based on autoregressive conditional heteroscedasticity. Another approach is to model variance as an unobserved stochastic process. Although it is not easy to obtain the exact likelihood function for such stochastic varia...

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Bibliografski detalji
Glavni autori: Harvey, A, Ruiz, E, Shephard, N
Format: Journal article
Jezik:English
Izdano: 1994