Estimation of stochastic volatility models with diagnostics

Journal of Econometrics

Volumn 81, Issue 1, 1997, Pages 159-192

  Gallant, A Ronald ^b   Hsiehb, David ^a   Tauchen, George ^a  

^a DUKE UNIVERSITY   (United States)

^b NONE

Author keywords

Diagnostics; Efficient method of moments (EMM); Stochastic volatility

Indexed keywords

EID: 0000890084     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00039-0     Document Type: Article

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