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