Estimation methods for stochastic volatility models: A survey

Journal of Economic Surveys

Volumn 18, Issue 5, 2004, Pages 613-649

  Broto, Carmen ^a   Ruiz, Esther ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Bayesian procedures; GMM; Indirect inference; Kalman filter; Leverage effect; Long memory; Maximum likelihood; Monte Carlo Markov Chain; QML; SV M

Indexed keywords

ECONOMIC ANALYSIS; STOCHASTICITY; STOCK MARKET;

EID: 10244229626     PISSN: 09500804     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-6419.2004.00232.x     Document Type: Review

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