Likelihood analysis of a first-order autoregressive model with exponential innovations

Journal of Time Series Analysis

Volumn 24, Issue 3, 2003, Pages 337-344

  Nielsen, B ^a   Shephard, N ^a  

^a NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Autoregression; Exact distribution; Exponential innovations; Likelihood; Non regular asymptotics; Stochastic volatility

Indexed keywords

EID: 0141922652     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00310     Document Type: Article

References (17)

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