Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

• 1 July 1998
• journal article
• Published by Oxford University Press (OUP) in The Review of Economic Studies
• Vol. 65  (3) , 361-393
• https://doi.org/10.1111/1467-937x.00050

Abstract

Keywords

• MODEL
• PROCEDURES
• LIKELIHOOD
• STOCHASTIC VOLATILITY
• CHOICE USING
• METHODS USING
• REWEIGHTING PROCEDURE

All Related Versions

• Version 1, RePEc (Unconfirmed version)
• Version 1, RePEc (Unconfirmed version)