A NEW METHOD TO ESTIMATE STOCHASTIC VOLATILITY MODELS: A LOG-GARCH APPROACH

DOI10.14490/JJSS1995.28.101zbMath0903.62095OpenAlexW1982623808MaRDI QIDQ4210852

Manabu Asai

Publication date: 10 January 1999

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss1995.28.101

zbMATH Keywords

stochastic volatilityquasi-maximum likelihoodlog-GARCH models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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