On leverage in a stochastic volatility model

DOI10.1016/j.jeconom.2004.08.002zbMath1335.91116OpenAlexW3121918541MaRDI QIDQ262831

Publication date: 30 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/276

zbMATH Keywords

nonlinear state space models Markov chain Monte Carlo Bayes factors leverage effect particle filter quasi maximum likelihood

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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