Comte, F.; Lacour, C.; Rozenholc, Y. - In: Journal of Econometrics 154 (2010) 1, pp. 59-73
This paper is concerned with the discrete time stochastic volatility model Yi=exp(Xi/2)[eta]i, Xi+1=b(Xi)+[sigma](Xi)[xi]i+1, where only (Yi) is observed. The model is rewritten as a particular hidden model: Zi=Xi+[epsilon]i, Xi+1=b(Xi)+[sigma](Xi)[xi]i+1, where ([xi]i) and ([epsilon]i) are...