Iterative QML estimation for asymmetric stochastic volatility models
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DOI: 10.1007/s10260-024-00747-z
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More about this item
Keywords
Asymmetric stochastic volatility; Leverage effect; Iterative quasi maximum likelihood;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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