Iterative QML estimation for asymmetric stochastic volatility models
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Cites work
- A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
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- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Multivariate Stochastic Variance Models
- Quasi-maximum likelihood estimation of stochastic volatility models
- Threshold heteroskedastic models
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(3)- QMSLV: a gretl package for quasi maximum likelihood estimation of stochastic volatility models
- Quasi-maximum likelihood estimation for non-stationary stochastic volatility models: diffuse Kalman filtering approach
- Modeling log-volatility with zero returns: empirical evidence for asymmetric SV and log-GARCH models
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