Journal article
Estimation of an asymmetric model of asset prices
- Abstract:
- A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state-space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns.
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Bibliographic Details
- Publisher:
- American Statistical Association
- Journal:
- Journal of business and economic statistics
- Volume:
- 14
- Publication date:
- 1996-01-01
- ISSN:
-
0735-0015
Item Description
- Language:
- English
- UUID:
-
uuid:a81d9a4b-9e51-4811-ac3f-ab6b7129b794
- Local pid:
- oai:economics.ouls.ox.ac.uk:13887
- Deposit date:
- 2011-08-16
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Terms of use
- Copyright date:
- 1996
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