Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
In this paper, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for several multivariate stochastic volatility models, among which we consider two new models that account for leverage effects. Our resul...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2016-09-01
|
| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/20100111.pdf |