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On the probability of estimating a deterministic component in the local level model
Harvey, Andrew C.; Shephard, Neil - 1990
A local level model has a deterministic level when the signal-to-noise ratio q is zero. In this paper we investigate the properties of the maximum likelihood estimator of q, paying particular attention to the case where its true value is zero. These properties are shown to be crucially dependent...
Persistent link: https://www.econbiz.de/10009441421
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Multivariate stochastic variance models
Harvey, Andrew C. - In: The review of economic studies 61 (1994) 2, pp. 247-264
Persistent link: https://www.econbiz.de/10001160740
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Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10001209347
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The econometrics of stochastic volatility
Harvey, Andrew C.; Shephard, Neil G. - 1993
Persistent link: https://www.econbiz.de/10000865088
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Estimation and testing of stochastic variance models
Harvey, Andrew C.; Shephard, Neil G. - 1993
Persistent link: https://www.econbiz.de/10000868273
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State space and unobserved component models : theory and applications
Harvey, Andrew C. (ed.); Koopman, Siem Jan (contributor);  … - 2004 - 1. publ.
Persistent link: https://www.econbiz.de/10009681752
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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 : JBES ; a … 14 (1996) 4, pp. 429-434
Persistent link: https://www.econbiz.de/10008220742