Estimation of an asymmetric stochastic volatility model for asset returns

Journal of Business and Economic Statistics

Volumn 14, Issue 4, 1996, Pages 429-434

  Harvey, Andrew C ^a   Shephard, Neil ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Ancillarity; Kalman filter; Leverage; Quasi maximum likelihood; Stock returns

Indexed keywords

EID: 0030490795     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1996.10524672     Document Type: Article

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