Multivariate modelling of the autoregressive random variance process

Journal of Time Series Analysis

Volumn 18, Issue 4, 1997, Pages 429-446

  So, Mike K P ^a   Li, W K ^a   Lam, K ^a  

^a NONE

Author keywords

Autoregressive random variance process; EM algorithm; Observed information matrix; Stochastic volatility

Indexed keywords

EID: 0011714398     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00060     Document Type: Article

References (36)

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