Likelihood-based inference for asymmetric stochastic volatility models

DOI10.1016/S0167-9473(02)00215-3zbMath1429.62652OpenAlexW1979582705MaRDI QIDQ951880

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

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

Related Items (7)

Maximum likelihood estimation of mark-recapture-recovery models in the presence of continuous covariates ⋮ Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models ⋮ A dynamic analysis of stock markets using a hidden Markov model ⋮ Second special issue on computational econometrics ⋮ Leverage, heavy-tails and correlated jumps in stochastic volatility models ⋮ Block sampler and posterior mode estimation for asymmetric stochastic volatility models ⋮ Semiparametric stochastic volatility modelling using penalized splines

Cites Work

• Unnamed Item
• Maximum likelihood estimation of a latent variable time-series model

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