|
|||||
|
|
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns |
|
| Authors: | Andrew C. Harvey Neil Shephard |
| Affiliation: | 1. Department of Statistics , London School of Economics , London , WC2A 2AE , United Kingdom;2. Nuffield College , Oxford , 0X1 1NF , United Kingdom |
| Abstract: | 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 |
| Keywords: | Ancillarity Kalman filter Leverage Quasi-maximum likelihood Stock returns |