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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| _version_ | 1826289759712968704 |
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| author | Harvey, A Shephard, N |
| author_facet | Harvey, A Shephard, N |
| author_sort | Harvey, A |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T02:33:47Z |
| format | Journal article |
| id | oxford-uuid:a81d9a4b-9e51-4811-ac3f-ab6b7129b794 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T02:33:47Z |
| publishDate | 1996 |
| publisher | American Statistical Association |
| record_format | dspace |
| spelling | oxford-uuid:a81d9a4b-9e51-4811-ac3f-ab6b7129b7942022-03-27T02:59:07ZEstimation of an asymmetric model of asset pricesJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:a81d9a4b-9e51-4811-ac3f-ab6b7129b794EnglishDepartment of Economics - ePrintsAmerican Statistical Association1996Harvey, AShephard, NA 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. |
| spellingShingle | Harvey, A Shephard, N Estimation of an asymmetric model of asset prices |
| title | Estimation of an asymmetric model of asset prices |
| title_full | Estimation of an asymmetric model of asset prices |
| title_fullStr | Estimation of an asymmetric model of asset prices |
| title_full_unstemmed | Estimation of an asymmetric model of asset prices |
| title_short | Estimation of an asymmetric model of asset prices |
| title_sort | estimation of an asymmetric model of asset prices |
| work_keys_str_mv | AT harveya estimationofanasymmetricmodelofassetprices AT shephardn estimationofanasymmetricmodelofassetprices |