Stochastic volatility with leverage: Fast and efficient likelihood inference

A-Tier
Journal: Journal of Econometrics
Year: 2007
Volume: 140
Issue: 2
Pages: 425-449

Authors (4)

Omori, Yasuhiro (University of Tokyo) Chib, Siddhartha (not in RePEc) Shephard, Neil (Harvard University) Nakajima, Jouchi (Bank of Japan)

Score contribution per author:

1.005 = (α=2.01 / 4 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Technical Details

RePEc Handle
repec:eee:econom:v:140:y:2007:i:2:p:425-449
Journal Field
Econometrics
Author Count
4
Added to Database
2026-01-26