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Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions.
Abanto-Valle, Carlos A; Langrock, Roland; Chen, Ming-Hui; Cardoso, Michel V.
Affiliation
  • Abanto-Valle CA; Department of Statistics, Federal University of Rio de Janeiro, Caixa Postal 68530, CEP: 21945-970, Rio de Janeiro, Brazil.
  • Langrock R; Department of Business Administration and Economics, Bielefeld University, Postfach 10 01 31, 33501 Bielefeld, Germany.
  • Chen MH; Department of Statistics, University of Connecticut, U-4120, Storrs, CT 06269, USA.
  • Cardoso MV; Department of Statistics, Federal University of Rio de Janeiro, Caixa Postal 68530, CEP: 21945-970, Rio de Janeiro, Brazil.
Appl Stoch Models Bus Ind ; 33(4): 394-408, 2017.
Article in En | MEDLINE | ID: mdl-28970740
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Full text: 1 Collection: 01-internacional Database: MEDLINE Language: En Journal: Appl Stoch Models Bus Ind Year: 2017 Document type: Article Affiliation country: Brazil
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Full text: 1 Collection: 01-internacional Database: MEDLINE Language: En Journal: Appl Stoch Models Bus Ind Year: 2017 Document type: Article Affiliation country: Brazil