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...
| Main Authors: | , |
|---|---|
| Formato: | Working paper |
| Idioma: | English |
| Publicado em: |
Nuffield College (University of Oxford)
1994
|