Simple estimators and inference for higher-order stochastic volatility models
MN Ahsan, JM Dufour - Journal of Econometrics, 2021 - Elsevier
We study the problem of estimating higher-order stochastic volatility [SV ( p ) ] models. Due to the difficulty of evaluating the likelihood function, this remains a challenging problem, even …
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We study the problem of estimating higher-order stochastic volatility [SV ( p ) ] models. Due to the difficulty of evaluating the likelihood function, this remains a challenging problem, even …