Estimation of an asymmetric model of asset prices
- 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.
- Publication status:
- Peer review status:
- Peer reviewed
- Publisher copy:
- Copyright holder:
- American Statistical Association
- Copyright date:
- The full-text of this article is not available in ORA at this time. Citation: Harvey, A. C. & Shephard, N. (1996). 'Estimation of an asymmetric stochastic volatility model for asset returns', Journal of Business & Economic Statistics, 14(4), 429-434.
If you are the owner of this record, you can report an update to it here: Report update to this record