Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models

Neil Shephard ()

Journal of Applied Econometrics, 1993, vol. 8, issue S, S135-52

Abstract: New strategies for the implementation of maximum likelihood estimation of nonlinear time series models are suggested. They make use of recent work on the EM algorithm and iterative simulation techniques. The estimation procedures are applied to the problem of fitting stochastic variance models to exchange rate data. Copyright 1993 by John Wiley & Sons, Ltd.

Date: 1993
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