JOURNAL ARTICLE
Quasi-maximum likelihood estimation for non-stationary stochastic volatility models: diffuse Kalman filtering approach
Abdeljalil SettarGhassane BenrhmachSara Chegdal
Year: 2025 Journal: Statistical Methods & Applications Publisher: Springer Science+Business Media
Keywords:
Metrics
1
Cited By
5.38
FWCI (Field Weighted Citation Impact)
31
Refs
0.92
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Complex Systems and Time Series Analysis
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Related Documents
JOURNAL ARTICLE
Quasi-maximum likelihood estimation of stochastic volatility models
Journal: Journal of Econometrics Year: 1994 Vol: 63 (1)Pages: 289-306
BOOK-CHAPTER
Improved Quasi-Maximum Likelihood Estimation for Stochastic Volatility Models
F. Jay BreidtAlicia L. Carriquiry
Year: 1996 Pages: 228-247
JOURNAL ARTICLE
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models
Rosemeire O. FerrazLuiz Koodi Hotta
Journal: Brazilian Review of Econometrics Year: 2007 Vol: 27 (2)Pages: 223-232
JOURNAL ARTICLE
Maximum likelihood estimation of stochastic volatility models
Yacine Aı̈t-SahaliaRobert L. Kimmel
Journal: Journal of Financial Economics Year: 2006 Vol: 83 (2)Pages: 413-452
JOURNAL ARTICLE
A Maximum Likelihood Approach for Non-Gaussian Stochastic Volatility Models
Moshe FridmanLawrence A. Harris
Journal: Journal of Business and Economic Statistics Year: 1998 Vol: 16 (3)Pages: 284-284