FITTING NONLINEAR TIME-SERIES MODELS WITH APPLICATIONS TO STOCHASTIC VARIANCE MODELS

被引：33

作者：

SHEPHARD, N

机构：

[1] Nuffield College, Oxford

来源：

JOURNAL OF APPLIED ECONOMETRICS | 1993年 / 8卷

关键词：

D O I：

10.1002/jae.3950080509

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：S135 / S152

页数：18

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