Estimation of an asymmetric model of asset prices
A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state-space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns.
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
American Statistical Association
1996
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