Stochastic volatility: likelihood inference and comparison with ARCH models

Citation:

Sangjoon, Kim, Neil Shephard, and Siddhartha Chib. 1998. “Stochastic volatility: likelihood inference and comparison with ARCH models.” Review of Economic Studies 63: 361-393.

Notes:

Reprinted in "Recent Developments in Time Series", (editors Stephen Leybourne and Paul Newbold), in "The International Library of Critical Writings in Econometrics, Volume 2" Edward Elgar Publishers, 2003, 196-228. Reprinted in "Stochastic Volatility: Selected Readings," (editor N. Shephard), 2005, 283-322, Oxford University Press.

Last updated on 09/27/2013