A maximum likelihood approach for non-gaussian stochastic volatility models

Journal of Business and Economic Statistics

Volumn 16, Issue 3, 1998, Pages 284-291

  Fridman, Moshe ^a   Harris, Lawrence ^b  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Filtering and smoothing; Heteroscedasticity; Non Gaussian filtering; Numerical integration; Stochastic variance

Indexed keywords

EID: 0032347339     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524767     Document Type: Article

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