Stochastic volatility with leverage: fast and efficient likelihood inference
This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361–393] method that w...
| Autores principales: | , , , |
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| Formato: | Journal article |
| Lenguaje: | English |
| Publicado: |
Elsevier
2007
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| Materias: |