Univariate and multivariate stochastic volatility models: Estimation and diagnostics

Journal of Empirical Finance

Volumn 10, Issue 4, 2003, Pages 505-531

  Liesenfeld, Roman ^a   Richard, Jean François ^b  

^a UNIVERSITY OF TÜBINGEN   (Germany)

^b UNIVERSITY OF PITTSBURGH   (United States)

Author keywords

Efficient importance sampling; Latent variables; Maximum likelihood

Indexed keywords

EID: 0038521361     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(02)00072-5     Document Type: Article

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