QML gradient-based estimator for univariate stochastic volatility models
| Main Author: | Kulikova, Maria V. |
|---|---|
| Format: | Dataset |
| Terbitan: |
Mendeley
, 2016
|
| Subjects: | |
| Online Access: |
https:/data.mendeley.com/datasets/26bnw733hc |
Daftar Isi:
- These MATLAB files accompany the following publication: M. V. Kulikova, D. R. Taylor (2013), "Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand", Journal of Applied Statistics, 40:3, 495-507, DOI: http://dx.doi.org/10.1080/02664763.2012.740791 It illustrates the QML gradient-based estimator (based on the Kalman filter) for univariate stochastic volatility models. The codes have been presented here for their instructional value only. They have been tested with care but are not guaranteed to be free of error and, hence, they should not be relied on as the sole basis to solve problems. If you use these codes in your research, please, cite to the corresponding article.