Linear filtering for asymmetric stochastic volatility models

被引：3

作者：

Kirby, Chris ^{[1
]}

机构：

[1] Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA

来源：

ECONOMICS LETTERS | 2006年 / 92卷 / 02期

关键词：

Kalman filter; state-space model; autoregressive volatility; leverage effect; quasi maximum likelihood;

D O I：

10.1016/j.econlet.2006.03.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：284 / 292

页数：9

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