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...
| Hlavní autoři: | , |
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| Médium: | Working paper |
| Jazyk: | English |
| Vydáno: |
Nuffield College (University of Oxford)
1994
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