Eratalay, M. Hakan - In: International Econometric Review (IER) 8 (2016) 2, pp. 19-52
In this paper, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for several multivariate stochastic volatility models, among which we consider two new models that account for leverage effects. Our...