Stochastic volatility: likelihood inference and comparison with ARCH models.
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...
Hauptverfasser: | Kim, S, Shephard, N |
---|---|
Format: | Working paper |
Sprache: | English |
Veröffentlicht: |
Nuffield College (University of Oxford)
1994
|
Ähnliche Einträge
Ähnliche Einträge
-
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
von: Kim, S, et al.
Veröffentlicht: (2005) -
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
von: Kim, S, et al.
Veröffentlicht: (2003) -
Stochastic volatility with leverage: fast likelihood inference.
von: Omori, Y, et al.
Veröffentlicht: (2004) -
Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
von: Omori, Y, et al.
Veröffentlicht: (2007) -
Stochastic volatility with leverage: fast and efficient likelihood inference
von: Omori, Y, et al.
Veröffentlicht: (2007)