Bidarkota, Prasad; Mcculloch, J Huston - In: Quantitative Finance 4 (2004) 3, pp. 256-265
We investigate persistence in CRSP monthly excess stock returns, using a state space model with stable disturbances. The non-Gaussian state space model with volatility persistence is estimated by maximum likelihood, using the optimal filtering algorithm given by Sorenson and Alspach (1971...