| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062456 | Economics Letters | 2006 | 9 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chris Kirby,