Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Kim, Sangjoon; Shepherd, Neil; Chib, Siddhartha

doi:10.1111/1467-937X.00050

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Author(s): Sangjoon Kim , Neil Shepherd , Siddhartha Chib

Publication date Created: July 1998

Publication date (Print): July 1998

Journal: Review of Economic Studies

Publisher: Wiley-Blackwell

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Title: Review of Economic Studies

Abbreviated Title: Rev Econ Studies

Publisher: Wiley-Blackwell

ISSN (Print): 0034-6527

ISSN (Electronic): 1467-937X

Publication date Created: July 1998

Publication date (Print): July 1998

Volume: 65

Issue: 3

Pages: 361-393

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DOI: 10.1111/1467-937X.00050

SO-VID: a1bcd4f6-737e-4f73-a922-aa9a97583554

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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