Stochastic volatility: likelihood inference and comparison with ARCH models
Year of publication: |
1994-11
|
---|---|
Authors: | Kim, Sangjoon ; Shephard, Neil |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | ARCH | Bayes estimation | Gibbs sampler | Heteroscedasticity | Maximum likelihood | Quasi-maximum likelihood | Simulation | Stochastic EM algorithm | Stochastic volatility | Stock returns |
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