Journal article
Estimation of an asymmetric model of asset prices
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Publisher copy:
- 10.1080/07350015.1996.10524672
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Authors
Contributors
+ Shephard, N
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Econometrics
Oxford college:
Nuffield College
Funding
Economic and Social Research Council
More from this funder
Bibliographic Details
- Publisher:
- American Statistical Association Publisher's website
- Journal:
- Journal of Business and Economic Statistics Journal website
- Volume:
- 14
- Issue:
- 4
- Pages:
- 429-434
- Publication date:
- 1996-10-01
- DOI:
- ISSN:
-
0735-0015
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:e3920c6c-3456-4684-b27c-54f6b3267916
- Local pid:
- ora:2264
- Deposit date:
- 2008-08-12
Related Items
Terms of use
- Copyright holder:
- American Statistical Association
- Copyright date:
- 1996
- Notes:
- 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.
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