Linear filtering for asymmetric stochastic volatility models [An article from: Economics Letters]

This digital document is a journal article from Economics Letters, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Linear filtering techniques are used to develop a quasi maximum likelihood estimator for asymmetric stochastic volatility models. The estimator is straightforward to implement and performs well in Monte Carlo experiments.