Meyer, Renate; Fournier, David A.; Berg, Andreas - In: Econometrics Journal 6 (2003) 2, pp. 408-420
Stochastic volatility (SV) models provide more realistic and flexible alternatives to ARCH-type models for describing time-varying volatility exhibited in many financial time series. They belong to the wide class of nonlinear state-space models. As classical parameter estimation for SV models is...