Stochastic volatility with leverage: Fast and efficient likelihood inference.

This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. [1998. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 65, 361-393] method that w...

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Detalles Bibliográficos

Publicado en:	Journal of Econometrics Vol. 140; no. 2; pp. 425 - 450
Autores principales:	Omori, Yasuhiro, Chib, Siddhartha, Shephard, Neil, Nakajima, Jouchi
Formato:	Artículo
Publicado:	Elsevier Science October 2007
Materias:	Probability theory Stochastic processes Market volatility
Acceso en línea:	Ver este registro en EBSCOhost