Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 

Authors: Borus Jungbacker ^a; Siem Jan Koopman ^a

Affiliation:

a Department of Econometrics, Vrije Universiteit Amsterdam, Tinbergen Institute Amsterdam, Netherlands

DOI: 10.1080/07474930600712848

Publication Frequency: 6 issues per year

Published in: Econometric Reviews, Volume 25, Issue 2 & 3 September 2006 , pages 385 - 408

Subjects: Econometrics; Finance; Financial Mathematics; Statistics;

Formats available: HTML (English) : PDF (English)

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