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Bayesian Analysis of Stochastic Volatility Models: Comment.
Shephard, Neil; Kim, Sangjoon - In: Journal of Business & Economic Statistics 12 (1994) 4, pp. 406-10
Persistent link: https://www.econbiz.de/10005238198
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Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns.
Harvey, Andrew C; Shephard, Neil - In: Journal of Business & Economic Statistics 14 (1996) 4, pp. 429-34
A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns.
Persistent link: https://www.econbiz.de/10005429990
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Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.
Chib, Siddhartha; Shephard, Neil - In: Journal of Business & Economic Statistics 20 (2002) 3, pp. 325-27
Persistent link: https://www.econbiz.de/10005430113
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Comment
Barndorff-Nielsen, Ole E.; Shephard, Neil - In: Journal of Business & Economic Statistics 24 (2006) April, pp. 179-181
Persistent link: https://www.econbiz.de/10005532195