• Title of article

    Linear filtering for asymmetric stochastic volatility models

  • Author/Authors

    Chris Kirby، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2006
  • Pages
    9
  • From page
    284
  • To page
    292
  • Abstract
    Linear filtering techniques are used to develop a quasi maximum likelihood estimator for asymmetric stochastic volatility models. The estimator is straightforward to implement and performs well in Monte Carlo experiments.
  • Keywords
    Autoregressive volatility , Kalman filter , quasi maximum likelihood , Leverage effect , State-space model
  • Journal title
    Economics Letters
  • Serial Year
    2006
  • Journal title
    Economics Letters
  • Record number

    436007

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=436007