Estimation for stochastic volatility model: Quasi-likelihood and asymptotic quasi-likelihood approaches
For estimation of the stochastic volatility model (SVM), this paper suggests the quasi-likelihood (QL) and asymptotic quasi-likelihood (AQL) methods. The QL approach is quite simple and does not require full knowledge of the likelihood functions of the SVM. The AQL technique is based on the QL metho...
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| Format: | Article |
| Language: | English |
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Elsevier
2017-01-01
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| Series: | Journal of King Saud University: Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1018364716301859 |