The hierarchical-likelihood approach to autoregressive stochastic volatility models

Computational Statistics and Data Analysis

Volumn 55, Issue 1, 2011, Pages 248-260

  Lee, Woojoo ^a   Lim, Johan ^a   Lee, Youngjo ^a   Del Castillo, Joan ^b  

^a Seoul National University   (South Korea)

^b UNIVERSITAT AUTÒNOMA DE BARCELONA   (Spain)

Author keywords

Autoregressive stochastic volatility model; Hierarchical generalized linear model; Hierarchical likelihood; Prediction; Sparse matrix computation

Indexed keywords

ECONOMIC ANALYSIS; FORECASTING; INVERSE PROBLEMS; MATRIX ALGEBRA; MAXIMUM LIKELIHOOD; NUMERICAL METHODS; RANDOM PROCESSES; STOCHASTIC SYSTEMS;

AUTO-REGRESSIVE; GENERALIZED LINEAR MODEL; HESSIAN MATRICES; HIERARCHICAL LIKELIHOOD; LONG-TERM PREDICTION; SHORT TERM PREDICTION; SPARSE MATRIX COMPUTATIONS; STOCHASTIC VOLATILITY MODEL;

STOCHASTIC MODELS;

EID: 77958055053     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.04.014     Document Type: Article

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