A semiparametric stochastic volatility model

DOI10.1016/j.jeconom.2011.09.029zbMath1441.62909MaRDI QIDQ738174

Jun Yu

Publication date: 15 August 2016

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1268

zbMATH Keywords

spline; leverage effect; simulated maximum likelihood; Laplace approximation

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Uses Software

• R2WinBUGS
• SemiPar
• BUGS