Estimation of an asymmetric stochastic volatility model for asset returns

被引:217
作者
Harvey, AC [1 ]
Shephard, N [1 ]
机构
[1] UNIV OXFORD NUFFIELD COLL,OXFORD OX1 1NF,ENGLAND
关键词
ancillarity; Kalman filter; leverage; quasi-maximum likelihood; stock returns;
D O I
10.2307/1392251
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:429 / 434
页数:6
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