Author of the publication

Stochastic volatility in asset prices estimation with simulated maximum likelihood

. Journal of Econometrics, 64 (1-2): 375--400 (00 1994)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

 

Other publications of authors with the same name

Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models. Journal of Empirical Finance, 5 (2): 155--173 (June 1998)The emperor has no clothes: Limits to risk modelling. Journal of Banking & Finance, 26 (7): 1273--1296 (July 2002)The impact of risk regulation on price dynamics, , and . Journal of Banking & Finance, 28 (5): 1069--1087 (May 2004)Tail index and quantile estimation with very high frequency data, and . Journal of Empirical Finance, 4 (2-3): 241--257 (June 1997)Stochastic volatility in asset prices estimation with simulated maximum likelihood. Journal of Econometrics, 64 (1-2): 375--400 (00 1994)On time-scaling of risk and the square-root-of-time rule, and . Journal of Banking & Finance, 30 (10): 2701--2713 (October 2006)Comparing downside risk measures for heavy tailed distributions, , , and . Economics Letters, 92 (2): 202--208 (August 2006)Incentives for effective risk management, , and . Journal of Banking & Finance, 26 (7): 1407--1425 (July 2002)