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Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.

Abstract:

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al., [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361-393] method that was developed for SV models without leverage can be extended to models with leverage. The approach relies on the novel idea of approximating the joint distribution of the outcome and volatility inn...

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Publisher copy:
10.1016/j.jeconom.2006.07.008

Authors


Yasuhiro Omori More by this author
Siddhartha Chib More by this author
Neil Shephard More by this author
Jouchi Nakajima More by this author
Journal:
Journal of Econometrics
Volume:
140
Issue:
2
Publication date:
2007
DOI:
URN:
uuid:e9199508-29f0-4865-aa3e-18b06e25934f
Local pid:
oai:economics.ouls.ox.ac.uk:10922
Language:
English

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