Likelihood-based inference for asymmetric stochastic volatility models

DOI10.1016/S0167-9473(02)00215-3MaRDI QIDQ951880zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• 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
• Linear filtering for asymmetric stochastic volatility models
• Semiparametric stochastic volatility modelling using penalized splines
• scientific article; zbMATH DE number 5209814 (Why is no real title available?)

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