Likelihood-based inference for asymmetric stochastic volatility models

DOI10.1016/S0167-9473(02)00215-3zbMATH Open1429.62652OpenAlexW1979582705MaRDI QIDQ951880FDOQ951880

Authors: B. E. Eshmatov 

Publication date: 4 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00215-3

Recommendations

• scientific article; zbMATH DE number 5209814
• scientific article; zbMATH DE number 2065158
• Stochastic volatility: likelihood inference and comparison with ARCH models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• On generalised asymmetric stochastic volatility models

zbMATH Keywords

maximum likelihood estimationquadraturehigh-dimensional integral

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• Title not available (Why is that?)
• Maximum likelihood estimation of a latent variable time-series model

Cited In (10)

• Second special issue on computational econometrics
• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• Maximum likelihood estimation of mark-recapture-recovery models in the presence of continuous covariates
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• A dynamic analysis of stock markets using a hidden Markov model
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• Some applications of nonlinear and non-Gaussian state-space modelling by means of hidden Markov models
• Semiparametric stochastic volatility modelling using penalized splines
• Linear filtering for asymmetric stochastic volatility models
• Title not available (Why is that?)

This page was built for publication: Likelihood-based inference for asymmetric stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q951880)