Stochastic volatility: likelihood inference and comparison with ARCH models.

Stochastic volatility: likelihood inference and comparison with ARCH models.

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Stochastic volatility models present a natural way of working with time-varying volatility. However the difficulty involved in estimating these types of models has prevented their wide-spread use in empirical applications. In this paper we exploit Gibbs sampling to provide a likelihood framework for...

Podrobná bibliografie
Hlavní autoři:	Kim, S, Shephard, N
Médium:	Working paper
Jazyk:	English
Vydáno:	Nuffield College (University of Oxford) 1994

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