Linear filtering for asymmetric stochastic volatility models

DOI10.1016/j.econlet.2006.03.005zbMath1255.62318OpenAlexW3125455535MaRDI QIDQ1929412

Chris Kirby

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.03.005

zbMATH Keywords

Kalman filterstate-space modelleverage effectquasi maximum likelihoodautoregressive volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items

A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS, Recursive estimation for continuous time stochastic volatility models

Cites Work

• Estimating linear representations of nonlinear processes
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Markov chain Monte Carlo methods for stochastic volatility models.
• Multivariate Stochastic Variance Models