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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí: Kim, S, Shephard, N
Formáid: Working paper
Teanga:English
Foilsithe / Cruthaithe: Nuffield College (University of Oxford) 1994