Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
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DOI：
10.1080/07350015.1996.10524672
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发表时间：
1996-10
影响因子：
3
通讯作者：
A. Harvey;N. Shephard
中科院分区：
文献类型：
--
作者：
A. Harvey;N. Shephard
随机波动率模型可以通过转换为线性状态空间形式的准最大似然过程来估计。该方法被扩展到处理模型中两个扰动之间的相关性，并应用于股票收益率数据
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